Institutionalizing Countercyclical Investment: A Framework for Long-term Asset Owners
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Dimitri Vayanos & Paul Woolley, 2013.
"An Institutional Theory of Momentum and Reversal,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145.
- Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Paul Woolley, 2011. "An institutional Theory of Momentum and Reversal," FMG Discussion Papers dp666, Financial Markets Group.
- Vayanos, Dimitri & Woolley, Paul, 2011. "An institutional theory of momentum and reversal," LSE Research Online Documents on Economics 24423, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers dp621, Financial Markets Group.
- Vayanos, Dimitri & Woolley, Paul, 2008. "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers 7068, C.E.P.R. Discussion Papers.
- Ilia D. Dichev, 2007. "What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns," American Economic Review, American Economic Association, vol. 97(1), pages 386-401, March.
- Ian Tower & Gregorio Impavido, 2009. "How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter," IMF Working Papers 2009/151, International Monetary Fund.
- Brennan, Michael J., 1993. "Agency and Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management qt53k014sd, Anderson Graduate School of Management, UCLA.
- Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2011.
"The Price Impact of Institutional Herding,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 892-925.
- Prat, Andrea & Dasgupta, Amil & Verardo, Michela, 2010. "The Price Impact of Institutional Herding," CEPR Discussion Papers 7804, C.E.P.R. Discussion Papers.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
- Merrill, Craig B. & Nadauld, Taylor D. & Stulz, Rene M. & Sherlund, Shane, 2012.
"Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?,"
Working Papers
13-01, University of Pennsylvania, Wharton School, Weiss Center.
- Craig B. Merrill & Taylor D. Nadauld & René M. Stulz & Shane Sherlund, 2012. "Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?," NBER Working Papers 18270, National Bureau of Economic Research, Inc.
- Merrill, Craig B. & Nadauld, Taylor & Stulz, Rene M. & Sherlund, Shane M., 2012. "Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?," Working Paper Series 2012-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Chevalier, Judith & Ellison, Glenn, 1997.
"Risk Taking by Mutual Funds as a Response to Incentives,"
Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
- Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
- Chevalier, J. & Ellison, G., 1996. "Risk Taking by Mutual Funds as a Response to Incentives," Working papers 96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
- Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management ERS-2005-068-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Mr. Michael G. Papaioannou & Mr. Joonkyu Park & Jukka Pihlman & Han van der Hoorn, 2013. "Procyclical Behavior of Institutional Investors During the Recent Financial Crisis: Causes, Impacts, and Challenges," IMF Working Papers 2013/193, International Monetary Fund.
- Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
- Dong Lou, 2012. "A Flow-Based Explanation for Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3457-3489.
- Raghuram G. Rajan, 2005.
"Has financial development made the world riskier?,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
- Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," NBER Working Papers 11728, National Bureau of Economic Research, Inc.
- Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," Working Papers id:248, eSocialSciences.
- Linlin Ma & Yuehua Tang & Juan‐Pedro Gómez, 2019. "Portfolio Manager Compensation in the U.S. Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 74(2), pages 587-638, April.
- Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1992.
"The Structure and Performance of the Money Management Industry,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1992 Micr), pages 339-391.
- Lakonishok, Joseph & Shleifer, Andrei & Vishny, Robert W., 1992. "The Structure and Performance of the Money Management Industry," Scholarly Articles 10498059, Harvard University Department of Economics.
- Dichev, Ilia D. & Yu, Gwen, 2011. "Higher risk, lower returns: What hedge fund investors really earn," Journal of Financial Economics, Elsevier, vol. 100(2), pages 248-263, May.
- Jeremy C. Stein, 2004. "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers 10259, National Bureau of Economic Research, Inc.
- Jukka Pihlman & Han van der Hoorn, 2010. "Procyclicality in Central Bank Reserve Management: Evidence from the Crisis," IMF Working Papers 2010/150, International Monetary Fund.
- Starks, Laura T., 1987. "Performance Incentive Fees: An Agency Theoretic Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 17-32, March.
- repec:oup:rfinst:v:25:y::i:12:p:3457-3489 is not listed on IDEAS
- Amit Goyal & Sunil Wahal, 2008. "The Selection and Termination of Investment Management Firms by Plan Sponsors," Journal of Finance, American Finance Association, vol. 63(4), pages 1805-1847, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Amariei, Cosmina, 2020. "Asset Allocation in Europe: Reality vs. Expectations," ECMI Papers 27304, Centre for European Policy Studies.
- Bradley Jones, 2018. "Central Bank Reserve Management and International Financial Stability—Some Post-Crisis Reflections," IMF Working Papers 2018/031, International Monetary Fund.
- Daniela Gabor, 2018. "Goodbye (Chinese) Shadow Banking, Hello Market†based Finance," Development and Change, International Institute of Social Studies, vol. 49(2), pages 394-419, March.
- Dichtl, Hubert & Drobetz, Wolfgang & Otto, Tizian, 2023. "Forecasting Stock Market Crashes via Machine Learning," Journal of Financial Stability, Elsevier, vol. 65(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.
- Moreira, Alan, 2019. "Capital immobility and the reach for yield," Journal of Economic Theory, Elsevier, vol. 183(C), pages 907-951.
- Yamani, Ehab, 2023. "The informational role of fund flow in the profitable predictability of mutual funds," Finance Research Letters, Elsevier, vol. 51(C).
- Rakowski, David & Yamani, Ehab, 2021. "Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 247-271.
- Servaes, Henri & Sigurdsson, Kari, 2022.
"The Costs and Benefits of Performance Fees in Mutual Funds,"
Journal of Financial Intermediation, Elsevier, vol. 50(C).
- Servaes, Henri & Sigurdsson, Kari, 2018. "The costs and benefits of performance fees in mutual funds," CEPR Discussion Papers 13399, C.E.P.R. Discussion Papers.
- Clemens Sialm & Laura T. Starks & Hanjiang Zhang, 2015.
"Defined Contribution Pension Plans: Sticky or Discerning Money?,"
Journal of Finance, American Finance Association, vol. 70(2), pages 805-838, April.
- Clemens Sialm & Laura Starks & Hanjiang Zhang, 2013. "Defined Contribution Pension Plans: Sticky or Discerning Money?," NBER Working Papers 19569, National Bureau of Economic Research, Inc.
- Clemens Sialm & Laura Starks & Hanjiang Zhang, 2014. "Defined Contribution Pension Plans: Sticky or Discerning Money?," Discussion Papers 13-022, Stanford Institute for Economic Policy Research.
- Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
- Nicola Borri & Alberto Cagnazzo, 2018. "The Performance of Market†Timing Strategies of Italian Mutual Fund Investors," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 47(1), pages 5-20, February.
- Luis Vicente & Cristina Ortiz & Laura Andreu, 2011. "Is the Average Investor Smarter than the Average Euro?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 143-161, December.
- Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022.
"Asset Management Contracts and Equilibrium Prices,"
Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
- Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014. "Asset Management Contracts and Equilibrium Prices," NBER Working Papers 20480, National Bureau of Economic Research, Inc.
- Buffa, Andrea & Vayanos, Dimitri & Woolley, Paul, 2014. "Asset management contracts and equilibrium prices," LSE Research Online Documents on Economics 119026, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Woolley, Paul & ,, 2014. "Asset Management Contracts and Equilibrium Prices," CEPR Discussion Papers 10152, C.E.P.R. Discussion Papers.
- Buffa, Andrea M. & Vayanos, Dimitri & Woolley, Paul, 2022. "Asset management contracts and equilibrium prices," LSE Research Online Documents on Economics 113889, London School of Economics and Political Science, LSE Library.
- Khaled Obaid & Kuntara Pukthuanthong, 2021. "Informativeness of mutual fund advertisements: Does advertising communicate fund quality to investors?," Financial Management, Financial Management Association International, vol. 50(1), pages 203-236, March.
- Muñoz, Fernando, 2016. "Cash flow timing skills of socially responsible mutual fund investors," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 110-124.
- Lonnie L. Bryant & Maureen Butler & Zhongling Cao, 2018. "Mutual Fund Fee Structures and Broker Compensation," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 197-211, May.
- Carlos F. Alves & Victor Mendes, 2006. "Mutual fund flows’ performance reaction: does convexity apply to small markets?," FEP Working Papers 204, Universidade do Porto, Faculdade de Economia do Porto.
- Martin Rohleder & Dominik Schulte & Marco Wilkens, 2017. "Management of flow risk in mutual funds," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 31-56, January.
- Philippe van der Beck & Jean-Philippe Bouchaud & Dario Villamaina, 2024. "Ponzi Funds," Papers 2405.12768, arXiv.org.
- Judith Chevalier & Glenn Ellison, 1999.
"Career Concerns of Mutual Fund Managers,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 389-432.
- Judith Chevalier & Glenn Ellison, 1998. "Career Concerns of Mutual Fund Managers," NBER Working Papers 6394, National Bureau of Economic Research, Inc.
- Beggs, William & Hill-Kleespie, Austin & Liu, Yanguang, 2022. "Mutual fund tax implications when investment advisors manage tax-exempt separate accounts," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Miguel Antón & Christopher Polk, 2014.
"Connected Stocks,"
Journal of Finance, American Finance Association, vol. 69(3), pages 1099-1127, June.
- Miguel Anton, & Christopher Polk, 2010. "Connected Stocks," FMG Discussion Papers dp651, Financial Markets Group.
- Anton, Miguel & Polk, Christopher, 2010. "Connected stocks," LSE Research Online Documents on Economics 43098, London School of Economics and Political Science, LSE Library.
- Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011.
"Risk Shifting and Mutual Fund Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
- Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc.
More about this item
Keywords
WP; asset owner; asset; return; Asset Allocation; Financial Stability; Asset Owners; Momentum; Risk Management; fixed income; asset class; fair value; private equity; Asset management; Pension spending; Stocks; Financial sector stability; Global;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2016/038. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.