Fund Managers Who Take Big Bets: Skilled or Overconfident

Busse, Jeffrey A.; Green, T. Clifton; Baks, Klaas

doi:10.2139/ssrn.891727

Cited by 21 publications

(4 citation statements)

References 19 publications

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“…The index is calculated using all the banks (contained in where HI is the Herfindahl index, calculated using market shares (based on total assets) at year end, and N is the number of firms (Bikker and Haaf 2002;Čihák and Hesse 2010). The normalised Herfindahl index ranges from 0 to 1 and gives lower rankings than the original Herfindahl index for industries with small number of firms (Busse et al 2007). It is therefore more appropriate in the present context.…”

Section: Second Stage Analysis: Determinants Of Efficiencymentioning

confidence: 99%

A comparison of performance of Islamic and conventional banks 2004–2009

Johnes¹,

Izzeldin²,

Pappas³

2014

Journal of Economic Behavior & Organization

259

181

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We compare, using data envelopment analysis (DEA) and meta-frontier analysis (MFA), the performance of Islamic and conventional banks during the period [2004][2005][2006][2007][2008][2009]. The use of nonparametric MFA is new to the Islamic banking context. Our DEA finds no significant difference in mean efficiency between conventional and Islamic banks when efficiency is measured relative to a common frontier. The MFA however, reveals some fundamental differences between the two bank types. In particular, the modus operandi in Islamic banking appears to be less efficient on average than the conventional one. Managers of Islamic banks, however, make up for this as mean efficiency in Islamic banks is higher than in conventional banks when efficiency is measured relative to their own bank type frontier. A second-stage analysis shows that differences between the two banking systems remain even after banking environment and bank-level characteristics have been taken into account. These findings are relevant to both policy-makers and regulators. In particular, Islamic banks should explore the benefits of moving to a more standardized system of banking, while the underperformance of conventional bank managers could be examined in the context of the on-going remuneration culture.

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Section: Second Stage Analysis: Determinants Of Efficiencymentioning

confidence: 99%

A comparison of performance of Islamic and conventional banks 2004–2009

Johnes¹,

Izzeldin²,

Pappas³

2014

Journal of Economic Behavior & Organization

259

181

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“…In this regard, Kacperczyk et al (2005) submit that on average, mutual funds that decide to deviate from a benchmark and concentrate their holdings in industries where they have informational advantages, perform better. In addition, Busse et al (2007) find a positive relation between the performance of a mutual fund and the managers willingness to take big bets on a relatively small number of stocks. Huij and Derwall (2011) find that concentrated funds with higher levels of tracking errors display better performance than their more broadly diversified counterparts.…”

Section: Performance Persistence: Theoretical Backgroundmentioning

confidence: 91%

“…As already noted, studies such as those by Sharpe (1992), Kacperczyk et al (2005), Busse et al (2007) and Huij and Derwall (2011) point out how bets involving differentiation, concentration and subsequently, idiosyncratic risk, are among the elements that enable the existence of abnormal 7 performance.…”

Section: Performance Persistence: Theoretical Backgroundmentioning

confidence: 94%

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

et al. 2015

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Citation for published item:edelslmD yF nd huygunD wF nd wtll¡ %nD tF gF nd ortosEeusinD iF @PHIUA 9ss ethil money sensitive to pst returnsc he se of portfolio onstrints nd persistene in sslmi fundsF9D tournl of (nnil servies reserhFD SI @QAF ppF QTQEQVRF Further information on publisher's website:The nal publication is available at Springer via https://doi.org/10.1007/s10693-015-0234-x Additional information: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details.

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“…Evans, Gomez, Ma, and Tang (2022) report that fund managers with relative performance incentives deviate from market indices. Busse, Green, and Baks (2006) as well as Cremers and Petajisto (2009) link such deviations with active management and superior performance, while Chen et al (2000) report that widely held stocks do not outperform. Furthermore, Kacperczyk, Sialm, and Zheng (2005) link superior performance with greater industry concentration, which further motivates the industry-neutral property of INSFIT, while Wermers (2000) links superior performance with higher turnover.…”

Section: Mainmentioning

confidence: 99%

The Information in Industry-Neutral Self-Financed Trades

Barardehi¹,

Da²,

Warachka³

2023

J. Financ. Quant. Anal.

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We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) as stock trades financed by offsetting, equivalent dollar-denominated stock trades in the same industry. Approximately 37% of short-term mutual fund trading profits can be attributed to these trade pairs. Consistent with informed trading, INSFIT precedes unusually high media coverage for the underlying stocks. The trades underlying INSFIT are also larger as the release of stock-level news becomes more imminent. Both relative valuation and the hedging of industry exposure motivate INSFIT’s industry neutrality. While INSFIT positively impacts fund performance, active fund managers who execute INSFIT more aggressively obtain smaller trading profits per execution.

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Fund Managers Who Take Big Bets: Skilled or Overconfident

Cited by 21 publications

References 19 publications

A comparison of performance of Islamic and conventional banks 2004–2009

A comparison of performance of Islamic and conventional banks 2004–2009

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

The Information in Industry-Neutral Self-Financed Trades

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