Fall cleaning

25Sep07

It has been awhile since we did an academic round-up, hence it is time to clean out the academic research paper folder. No overriding theme here, just a bunch of papers worth (in our opinion) worth a look. All papers are available at SSRN.com.

“The Troves of Academe: Asset Allocation, Risk Budgeting, and the Investment Performance of University Endowment Fund” by Keith C. Brown, Lorenzo Garlappi and Christian Ioan Tiu at SSRN.com. In this paper the authors examine the “asset allocation practices and investment performance” of university endowment. Given the amount of attention paid to high-profile university endowments like Yale and Harvard this paper is worth a look.

“On the Relative Performance of Multi-Strategy and Funds of Hedge Funds” by Vikas Agarwal and Jayant R. Kale at SSRN.com. The authors find that multi-strategy hedge funds outperform fund of hedge funds due in large part to the disadvantage of double-layers of feeds for fund of funds. The question is the how (and why) of this relative outperformance.

Life-cycle mutual funds have become an increasingly popular mutual fund category due in large part to their use in 401(k) plans. “Life-Cycle Funds” by Luis M. Viceira at SSRN.com explores the theoretical backing (or lack thereof) for these funds and how they might best be used by investors and providers alike.

Although sell-side analyst recommendations have fallen into relative disrepute there still is some research to be found in the data. “Hold ’em? Using Financial Statement Information to Pick Winners and Losers when Consensus Analysts’ Recommendations are Neutral” by James Michael Wahlen and Matthew M. Wieland at SSRN.com. In the paper they find that future earnings growth helps distinguish stock performance.

We have mentioned this paper previously, but we wanted to pass along the link to the abstract. “Hedge Funds as Shareholder Activists from 1994-2005” by Nicole M. Boyson and Robert M. Mooradian at SSRN.com. In short they find “..ind strong evidence that hedge fund activists improve both short-term stock performance and long-term operating performance of their targets.”

More on hedge fund performance. “Investing in Talents: Manager Characteristics and Hedge Fund Performances” by Haitao Li, Rui Zhao and Xiaoyan Zhang at SSRN.com looks at the relationship between managers and fund performance. If the skills of a fund manager drive performance, then isn’t it logical the manager’s background may provide some insight?

Mutual fund fees seem to have moved to the media background. The rise of hedge funds and ETFs has been examined almost solely in regards to returns. In “Mutual Fund Fees Around the World” by Ajay Khorana, Henri Servaes and Peter Tufano at SSRN.com take a global look at how (and why) mutual fund fees differ, quite widely, across national borders.

That’s all we have. We will back with another round-up as soon we gather up another set of abstracts.

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