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Full-Text Articles in Business
Active Factor Investing: Hedge Funds Versus The Rest Of Us, Jun Duanmu, Yongjia Li, Alexey Malakhov
Active Factor Investing: Hedge Funds Versus The Rest Of Us, Jun Duanmu, Yongjia Li, Alexey Malakhov
Finance Faculty Publications and Presentations
We examine whether the success of hedge fund market timing strategies can be replicated. We develop a methodology for creating a portfolio of ETFs to capture risk factor exposures of market timing hedge funds identified using extant market timing measures. We find that the top market timing hedge funds outperform their ETF clone peers and the superior performance cannot be replicated. We show that the irreplicable market timing skills are more profound in certain hedge fund styles. Finally, we provide evidence that the success of market timing strategies is driven by non-cloneable hedge funds that possess managerial skills.
Auditor Response To Changing Risk: Money Market Funds During The Financial Crisis, Kyle D. Allen, Drew B. Winters
Auditor Response To Changing Risk: Money Market Funds During The Financial Crisis, Kyle D. Allen, Drew B. Winters
Finance Faculty Publications and Presentations
Audits provide monitoring for investors. The collapse of markets across the financial crisis made assets more difficult to value, which increased risk for auditors. The money markets were at the center of the financial crisis increasing audit engagement risk on money market funds, which at the time of the crisis were highly opaque. Measuring the response to increased engagement risk with audit fees, this study finds that auditors increase their fees for the riskiest class of funds. However, no evidence was found that audit fees increased as funds increased their holdings in the riskiest class of securities.
Home Price Appreciation And Residential Lending Standards, Yongjia Li, Salman Tahsin
Home Price Appreciation And Residential Lending Standards, Yongjia Li, Salman Tahsin
Finance Faculty Publications and Presentations
We explore the effect of home price appreciation on residential lending standards in the U.S. across different sample periods. Using housing supply elasticity measures as instrumental variables for home price changes, we find that rising home prices led to easing lending standards between 2001 and 2006. Mortgage acceptance rates increased more in MSAs that experienced higher home price appreciation, contributing to the credit boom. However, we find that home price appreciation is associated with tighter lending standards between 2012 and 2016, suggesting that banks took a more cautious view of home price appreciation after the financial crisis. To study the …