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Management Sciences and Quantitative Methods Commons™
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Articles 1 - 8 of 8
Full-Text Articles in Management Sciences and Quantitative Methods
Portfolio Manager Compensation And Mutual Fund Performance, Linlin Ma, Yuehua Tang, Juan-Pedro Gomez
Portfolio Manager Compensation And Mutual Fund Performance, Linlin Ma, Yuehua Tang, Juan-Pedro Gomez
Research Collection Lee Kong Chian School Of Business
We use a novel dataset to study the relation between individual portfolio manager compensation and mutual fund performance. Managers with explicit performance-based pay exhibit superior subsequent fund performance, especially when investment advisors link pay to performance over a longer time period. In contrast, alternative compensation arrangements, such as fixed salary, assets-based pay, or advisor-profits-based pay are not associated with superior performance. Our tests further show that the positive relation between performance-based contracts and fund performance is not driven by the selection of talented managers proxied by education background. Lastly, managers with performance-based pay engage less in risk-shifting activities.
New Approach To Density Estimation And Application To Value-At-Risk, Kian Guan Lim, Hao Cheng, Nelson K. L. Yap
New Approach To Density Estimation And Application To Value-At-Risk, Kian Guan Lim, Hao Cheng, Nelson K. L. Yap
Research Collection Lee Kong Chian School Of Business
The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivative function. The latter function transforms a fitted Variance Gamma risk-neutral distribution that is obtained from traded option prices. The generality of the VG distribution helps to avoid unnecessary mis-specification bias. The estimated empirical distribution is then used to find the risk measure of VaR. We show that possible underestimation of VaR risk using existing methods is largely not due to VaR itself but perhaps due to mis-specification errors which we minimize in …
Quantifying Expertise In Private Equity, Singapore Management University
Quantifying Expertise In Private Equity, Singapore Management University
Perspectives@SMU
Just how much is expert knowledge worth in running a private equity fund?
Asset Performance Evaluation With Mean-Variance Ratio, Zhidong Bai, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong
Asset Performance Evaluation With Mean-Variance Ratio, Zhidong Bai, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong
Research Collection Lee Kong Chian School Of Business
Bai, et al. (2011c) develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. They provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased. In this paper we illustrate the superiority of our proposed test over the Sharpe ratio (SR) test by applying both tests to analyze the performance of Commodity Trading Advisors (CTAs). Our findings show that while the SR test concludes most of the CTA funds being analyzed as being indistinguishable in their performance, our proposed statistics show that some funds outperform the others. On the …
Index-Exciting Caviar: A New Empirical Time-Varying Risk Model, Dashan Huang, Baimin Yu, Zudi Lu, Sergio Focardi, Frank Fabozzi, Masao Fukushima
Index-Exciting Caviar: A New Empirical Time-Varying Risk Model, Dashan Huang, Baimin Yu, Zudi Lu, Sergio Focardi, Frank Fabozzi, Masao Fukushima
Research Collection Lee Kong Chian School Of Business
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset's returns which performs better in many cases than those that invert a return distribution. In this paper we explore more flexible CAViaR models that allow VaR prediction to depend upon a richer information set involving returns on an index. Specifically, we formulate a time-varying CAViaR model whose parameters vary according to the evolution of the index. The empirical evidence reported in this paper suggests that our time-varying CAViaR …
A New Approach To The Measurement Of Polarization For Grouped Data, Eckart Bomsdorf, Clemens A. Otto
A New Approach To The Measurement Of Polarization For Grouped Data, Eckart Bomsdorf, Clemens A. Otto
Research Collection Lee Kong Chian School Of Business
In this paper we develop a measure of polarization for discrete distributions of non-negative grouped data. The measure takes into account the relative sizes and homogeneities of individual groups as well as the heterogeneities between all pairs of groups. It is based on the assumption that the total polarization within the distribution can be understood as a function of the polarizations between all pairs of groups. The measure allows information on existing groups within a population to be used directly to determine the degree of polarization. Thus the impact of various classifi- cations on the degree of polarization can be …
Event-Study Methodology Under Conditions Of Event-Induced Variance, Ekkehart Boehmer, Jim Masumeci, Annette B. Poulsen
Event-Study Methodology Under Conditions Of Event-Induced Variance, Ekkehart Boehmer, Jim Masumeci, Annette B. Poulsen
Research Collection Lee Kong Chian School Of Business
Many authors have identified the hazards of ignoring event-induced variance in event studies. To determine the practical extent of the problem, we simulate an event with stochastic effects. We find that when an event causes even minor increases in variance, the most commonly-used methods reject the null hypothesis of zero average abnormal return too frequently when it is true, although they are reasonably powerful when it is false. We demonstrate that a simple adjustment to the cross-sectional techniques produces appropriate rejection rates when the null is true and equally powerful tests when it is false.
A Direct Test Of Rock's Model Of The Pricing Of Unseasoned Issues, Francis Koh, Terry Walter
A Direct Test Of Rock's Model Of The Pricing Of Unseasoned Issues, Francis Koh, Terry Walter
Research Collection Lee Kong Chian School Of Business
Unique data availability and institutional arrangements for new issues in Singapore allow a direct test of the empirical implications of Rock's model of pricing unseasoned new issues. Our empirical results are consistent with the model. Specifically we find that the unseasoned new issues' anomaly disappears when the rationing associated with new issues is incorporated into the analysis. The winner's curse is evident in allocation patterns used in Singapore.