We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the "anomalous" properties of hedge fund returns, we observe the mechanisms used ...to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion in pricing investment positions are more likely to have returns consistent with intentional smoothing. Traditional controls, however, such as removing the manager from the setting and reporting of the fund's net asset value and the use of reputable auditors and administrators, are not associated with lower levels of smoothing. With respect to asset illiquidity versus misreporting, investment style and portfolio characteristics explain 14.0—24.3% of the variation in our smoothing measures, and pricing controls explain an additional 4.1—8.8%, suggesting that asset illiquidity is the major factor driving the anomalous properties of self-reported hedge fund returns.
We examine how bank funding structure and securitization activities affect the currency denomination of business loans. We analyze a unique data set that includes information on the requested and ...granted loan currency for 99,490 loans granted to 57,464 firms by a Bulgarian bank. Our findings document that foreign currency lending is at least partially driven by bank eagerness to match the currency structure of assets with that of liabilities. Our results also show that loan currency, as well as loan amount and maturity, are adjusted to make loans eligible for securitization.
We find that private-securitized loans perform worse than observably similar, nonsecuritized loans, which provides evidence for adverse selection. The effect of securitization is strongest for prime ...mortgages, which have not been studied widely in the previous literature and, in particular, prime adjustable-rate mortgages (ARMs): These become delinquent at a 30 % higher rate when privately securitized. By contrast, our baseline estimates for subprime mortgages show that private-securitized loans default at lower rates. We demonstrate, however, that “early defaulting loans” account for this: those that were so risky that they defaulted before they could be securitized.
In most U.S. states, mortgage seniority follows time priority: older mortgages are paid first. This potentially impedes refinancing of senior mortgages because replacement mortgages are junior unless ...the existing junior lienholders consent to resubordination. We exploit legal variation across states to provide evidence that time priority reduces refinancing, especially of smaller mortgages (suggesting a significant fixed cost of obtaining resubordination) and of mortgages close to the conforming loan limit. On the contrary, we find evidence that time priority renders second mortgages more valuable to lenders, increasing the likelihood that a borrower obtains a second mortgage.
We examine cost and nutrient use efficiency of farms and determine the cost to move farms to nutrient‐efficient operation using Data Envelopment Analysis (DEA) with a dataset of 96 rice farms in ...Gangwon province of South Korea from 2003 to 2007. Our findings show that improvements in technical efficiency would result in both lower production costs and better environmental performance. It is, however, not costless for farms to move from their current operation to the environmentally efficient operation. On average, this movement would increase production costs by 119% but benefit the water system through an approximately 69% reduction in eutrofying power (EP). The average estimated cost of each EP kg of aggregate nutrient reduction is approximately one thousand two hundred won. For technically efficient farms, there is a trade‐off between cost and environmental efficiency. We also find that the environmental performance of farms varies across farms and regions. We suggest that agri‐environmental policies should be (re)designed to improve both cost and environmental performance of rice farms.
Coordinated Admissions Program Andrews, Rodney J.
The American economic review,
05/2016, Letnik:
106, Številka:
5
Journal Article
Recenzirano
Odprti dostop
In the wake of challenges to affirmative action, access to oversubscribed elite public universities remains a contentious issue. Much of the research on these issues focuses on freshman admissions. ...This paper examines the University of Texas at Austin's Coordinated Admissions Program which offers Texas residents that were not admitted to the University of Texas at Austin as freshman the option of transferring from a participating University of Texas System school. Using the regression discontinuity design, I show that this path to an elite public university has an impact on academic outcomes.
The article analyses the September 2007 European Commission proposal for a third internal energy policy package, agreed by the European Union in spring 2009. Compared to legislation from 2003, the ...proposal reflects greater will on the part of the Commission to pressure unwilling Member State governments, and shifts in Commission leverage vis‐à‐vis Member States as well as a shift in policy networks with clout in EU policy‐making. This shift in Commission leverage would indicate stronger supranational governance in EU energy matters in the future.
Episodic events of both Saharan dust outbreaks and African easterly waves (AEWs) are observed to move westward over the eastern tropical Atlantic Ocean. The relationship between the warm, dry, and ...dusty Saharan air layer on the nearby storms has been the subject of considerable debate. In this study, the Weather Research and Forecasting model is used to investigate the radiative effect of dust on the development of AEWs during August and September, the months of maximum tropical cyclone activity, in years 2003–07. The simulations show that dust radiative forcing enhances the convective instability of the environment. As a result, most AEWs intensify in the presence of a dust layer. The Lorenz energy cycle analysis reveals that the dust radiative forcing enhances the condensational heating, which elevates the zonal and eddy available potential energy. In turn, available potential energy is effectively converted to eddy kinetic energy, in which local convective overturning plays the primary role. The magnitude of the intensification effect depends on the initial environmental conditions, including moisture, baroclinity, and the depth of the boundary layer. The authors conclude that dust radiative forcing, albeit small, serves as a catalyst to promote local convection that facilitates AEW development.
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