| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7079 |
| DP7079 Agglomeration, Backward and Forward Linkages: Evidence from South Korean Investment in China | |
| Peter Debaere; Joonhyung Lee; Myungho Paik | |
| 发表日期 | 2008-12-08 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We propose a rational theory of momentum and reversal based on delegated portfolio management. A competitive investor can invest through an index fund or an active fund run by a manager with unknown ability. Following a negative cashflow shock to assets held by the active fund, the investor updates negatively about the manager's ability and migrates to the index fund. While prices of assets held by the active fund drop in anticipation of the investor's outflows, the drop is expected to continue, leading to momentum. Because outflows push prices below fundamental values, expected returns eventually rise, leading to reversal. Fund flows generate comovement and lead-lag effects, with predictability being stronger for assets with high idiosyncratic risk. We derive explicit solutions for asset prices, within a continuous-time normal-linear equilibrium. |
| 主题 | Financial Economics |
| 关键词 | Delegated portfolio management Limits to arbitrage Momentum Reversal |
| URL | https://cepr.org/publications/dp7079 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535916 |
| 推荐引用方式 GB/T 7714 | Peter Debaere,Joonhyung Lee,Myungho Paik. DP7079 Agglomeration, Backward and Forward Linkages: Evidence from South Korean Investment in China. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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