NDLI: Three Essays on Financial Intermediation

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Three Essays on Financial Intermediation

Content Provider	Semantic Scholar
Author	Liebscher, Roberto Mählmann, Thomas
Copyright Year	2019
Abstract	s der Werke der kumulativen Dissertation gemäß § 17 Abs. 1 Rahmenpromotionsordnung der Katholischen Universität Eichstätt-Ingolstadt Erstgutachter: Univ.-Prof. Dr. Thomas Mählmann Zweitgutachter: Univ.-Prof. Dr. Reinald Koch Datum der mündlichen Prüfung: 27. Juli 2017 Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios Roberto Liebscher Thomas Mählmann First Draft: March 27, 2014 This Version: September 20, 2015 Abstract Theory predicts that individual investor’s incentives to uncover new information about asset values are low if asset prices are efficient. This, in turn, implies that heterogeneity in investment manager skill, if present, should be most clearly visible among managers that focus on asset classes with less informationally efficient prices. We investigate this argument using a large sample of syndicated bank loan portfolios managed by collateralized loan obligation (CLO) managers. Using a CLO’s equity tranche cash-on-cash (CoC) return to measure performance, we find strong persistence that is robust to an extensive set of risk controls. While investors seem to derive their expectation about management quality from a manager’s realized performance and allocate more capital to “skilled” managers, top performers cope to stay ahead net-of-fees. This questions the rationality of managers and the efficiency of the syndicated loan market. JEL-Classification: G21, G23, G24
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://opus4.kobv.de/opus4-ku-eichstaett/frontdoor/deliver/index/docId/512/file/Liebscher_Abstracts_pdfa.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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