Efficiently Inefficient

Author: Lasse Heje Pedersen
Publisher: Princeton University Press
ISBN: 1400865735
Format: PDF
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Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money—and why they sometimes don't. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth—fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies—and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book’s strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros. Efficiently Inefficient effectively demonstrates how financial markets really work. Free problem sets are available online at http://www.lhpedersen.com

Efficiently Inefficient

Author: Lasse Heje Pedersen
Publisher:
ISBN: 9780691166193
Format: PDF
Download Now
"This valuable and intriguing book provides a contemporary survey of investments across a wide spectrum of asset classes and strategies. Combining a wonderful narrative with a rigorous analytical structure, "Efficiently Inefficient" serves the needs of students, serious investors, and professionals. It is an important contribution to the investment literature."--Gary P. Brinson, CFA, GP Brinson Investments "For a book on investments, "Efficiently Inefficient" sets a completely different and higher standard. Pedersen blends the best and latest research, accessible to both MBA students and professionals, with the insights of some of the world's leading hedge fund managers. It works beautifully."--Darrell Duffie, Stanford University ""Efficiently Inefficient" is a truly modern and masterful introduction to how finance will be studied and practiced in the twenty-first century."--Andrei Shleifer, Harvard University "How are markets efficient enough to stump most investors, yet inefficient enough to allow hedge fund managers to earn huge profits? Lasse Pedersen, who has contributed greatly to the 'new finance' of liquidity and financial frictions, answers this question with a tour-de-force combination of original research and provocative interviews with hedge fund managers."--Laurence B. Siegel, CFA Institute Research Foundation "Lasse Pedersen is a gifted financial market theorist who understands that theory is most satisfying when it is combined with a deep practical understanding of institutional detail and market frictions. This terrific book showcases his strengths in all of these dimensions."--Jeremy Stein, Harvard University "This accessible book explains hedge fund strategies and how to design, construct, evaluate, implement, and risk manage them. The section on securities lending and borrowing is interesting and novel, and Pedersen's discussion of macro and central bank strategies is one of the best I have seen in any book on hedge funds. His account of portfolio construction is superior."--Robert Kosowski, Imperial College Business School ""Efficiently Inefficient" bridges academic finance and the practice of finance. Students will appreciate the insights of top investment managers and the sections on transactions costs and liquidity are especially valuable. I will use the book in my graduate course on investment and I highly recommend it to all those working in the investment management industry."--Campbell R. Harvey, editor of the "Journal of Finance" (2006-2012)

Inefficient Markets

Author: Andrei Shleifer
Publisher: Oxford University Press on Demand
ISBN: 0198292287
Format: PDF, Docs
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The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actualfinancial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns onstocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis ofreal-world markets.

Market Liquidity

Author: Yakov Amihud
Publisher: Cambridge University Press
ISBN: 0521191769
Format: PDF, ePub
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This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

The Handbook of Equity Market Anomalies

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Format: PDF, Docs
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Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

The Myth of Democratic Failure

Author: Donald A. Wittman
Publisher: University of Chicago Press
ISBN: 9780226904238
Format: PDF, Kindle
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This book refutes one of the cornerstone beliefs of economics and political science: that economic markets are more efficient than the processes and institutions of democratic government. Wittman first considers the characteristic of efficient markets—informed, rational participants competing for well-defined and easily transferred property rights—and explains how they operate in democratic politics. He then analyzes how specific political institutions are organized to operate efficiently. "Markets" such as the the Congress in the United States, bureaucracies, and pressure groups, he demonstrates, contribute to efficient political outcomes. He also provides a theory of institutional design to explain how these political "markets" arise. Finally, Wittman addresses the methodological shortcomings of analyses of political market failure, and offers his own suggestions for a more effective research strategy. Ultimately, he demonstrates that nearly all of the arguments claiming that economic markets are efficient apply equally well to democratic political markets; and, conversely, that economic models of political failure are not more valid than the analogous arguments for economic market failure.

Expected Returns

Author: Antti Ilmanen
Publisher: John Wiley & Sons
ISBN: 1119991749
Format: PDF, ePub, Docs
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This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Health System Efficiency

Author: Jonathan Cylus
Publisher: Health Policy
ISBN: 9789289050418
Format: PDF, ePub, Docs
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Efficiency is one of the central preoccupations of health policy-makers and managers, and justifiably so. Inefficient care can lead to unnecessarily poor outcomes for patients, either in terms of their health, or in their experience of the health system. What is more, inefficiency anywhere in the system is likely to deny health improvement to patients who might have been treated if resources had been used better. Improving efficiency is therefore a compelling policy goal, especially in systems facing serious resource constraints. The desire for greater efficiency motivates a great deal of decision-making, but the routine use of efficiency metrics to guide decisions is severely lacking. To improve efficiency in the health system we must first be able to measure it and must therefore ensure that our metrics are relevant and useful for policy-makers and managers. In this book the authors explore the state of the art on efficiency measurement in health systems and international experts offer insights into the pitfalls and potential associated with various measurement techniques. The authors show that: 1) the core idea of efficiency is easy to understand in principle -- maximizing valued outputs relative to inputs, but is often difficult to make operational in real-life situations; 2) there have been numerous advances in data collection and availability, as well as innovative methodological approaches that give valuable insights into how efficiently health care is delivered; 3) our simple analytical framework can facilitate the development and interpretation of efficiency indicators. The authors use examples from Europe and around the world to explore how policy-makers and managers have used efficiency measurement to support their work in the past, and suggest ways they can make better use of efficiency measurement in the future. The study came out of the Observatory's LSE hub. It links to a forthcoming study offering further insights into how to develop and interpret policy relevant efficiency metrics and to the earlier volumes on performance measurement. It will be of considerable use to policymakers and their advisors, health care regulators, patient representative groups, managers and researchers.

Efficiently Inefficient Markets for Assets and Asset Management

Author: Nicolae Garleanu
Publisher:
ISBN:
Format: PDF, Mobi
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We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and the net performance of the average manager depends on the number of "noise allocators." Small investors should be passive, but large and sophisticated investors benefit from searching for informed active managers since their search cost is low relative to capital. Hence, managers with larger and more sophisticated investors are expected to outperform.