| 1. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 2. |
- Franzoni, Francesco A., et al.
(författare)
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Costs and Benefits of Financial Conglomerate Affiliation: Evidence from Hedge Funds
- 2019
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Ingår i: Journal of Financial Economics. - : Elsevier. - 1879-2774 .- 0304-405X. ; 134:2, s. 355-380
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Tidskriftsartikel (refereegranskat)abstract
- This paper explores how affiliation to financial conglomerates affects asset managers’ access to capital, risk taking, and performance. Focusing on a sample of hedge funds, we find that financialconglomerate-affiliated hedge funds (FCAHFs) have lower flow-performance sensitivity than other hedge funds and that this difference is particularly pronounced during financial turmoil. Arguably, thanks to more stable funding, FCAHFs allow their investors to redeem capital more freely and are able to capture price rebounds. Since investors may value these characteristics, our findings provide a rationale for why financial conglomerate affiliation is widespread, although it slightly hampers performance on average.
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| 3. |
- Franzoni, Francesco A., et al.
(författare)
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Supply Chain Shortages, Large Firms' Market Power, and Inflation
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We suggest an equilibrium mechanism for the widely debated argument that “greedflation” has fostered widespread price hikes. We construct firm and industry-level measures of supply chain backlogs and delivery delays and provide evidence that supply chain shortages lead to a decrease in competition at the industry level. We show that “star” firms acquire market shares and increase their markups and profitability relative to the smaller firms in the industry. We also show that the large increase in supply chain backlogs during the COVID-19 pandemic can help explain about 19% of the US inflation in industries with more asymmetric firm size distribution, where supply chain shortages are more likely to benefit large firms at the expense of smaller firms. Economic magnitudes are comparable in the international sample.
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| 4. |
- Giannetti, Mariassunta, et al.
(författare)
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Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper explores how affiliation to financial conglomerates relates to hedge funds’ funding and risk taking. We find that financial-conglomerate-affiliated hedge funds (FCAHFs) have more stable funding than other hedge funds. This may explain our finding that FCAHFs are able to take more risk and to purchase less liquid and more volatile stocks than other hedge funds during financial turmoil. In good times, instead, FCAHFs expand their assets less than other funds and are less exposed to systematic risk. Thus, FCAHFs perform a stabilizing function for the financial system, even though they do not generate higher returns for their investors.
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| 5. |
- Giannetti, Mariassunta, et al.
(författare)
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Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper explores how affiliation to financial conglomerates relates to hedge funds’ funding and risk taking. We find that financial-conglomerate-affiliated hedge funds (FCAHFs) have more stable funding than other hedge funds. This may explain our finding that FCAHFs are able to take more risk and to purchase less liquid and more volatile stocks than other hedge funds during financial turmoil. In good times, instead, FCAHFs expand their assets less than other funds and are less exposed to systematic risk. Thus, FCAHFs perform a stabilizing function for the financial system, even though they do not generate higher returns for their investors.
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