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23 results on '"McLemore, Ping"'

6. Active Technological Similarity and Mutual Fund Performance.

Author

McLemore, Ping, Sias, Richard, Wan, Chi, and Yüksel, H. Zafer

Subjects
TECHNOLOGICAL innovations, MUTUAL funds, INVESTMENT advisors, RATE of return, PORTFOLIO performance, ASSETS (Accounting), PRICES, PATENTS, CORPORATE profits
Abstract

We examine whether superior understanding of technological innovation is a source of mutual fund managers' ability to garner positive abnormal returns. Consistent with our hypothesis, the inter-quintile annual net Carhart alpha spread for mutual funds sorted on changes in the technological similarity (TS) of their portfolio holdings is 282 basis points. Moreover, because changes in TS are largely orthogonal to other predictors of mutual fund success (e.g., industry concentration, active share, fund R2, and lag fund alpha), changes in TS can be combined with other measures to help identify the best performing funds. [ABSTRACT FROM AUTHOR]

Published
2022
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9. Economic Policy Uncertainty and Self-Control: Evidence from Unhealthy Choices.

Author

Kalcheva, Ivalina, McLemore, Ping, and Sias, Richard

Subjects
ECONOMIC policy, UNCERTAINTY, UNHEALTHY lifestyles, SELF-control, IMPULSE (Psychology), ALCOHOL drinking, BINGE drinking
Abstract

We hypothesize that greater economic policy uncertainty (EPU) leads to increases in unhealthy behaviors by lowering individuals' impulse control. Based on 6.1 million interviews over 22 years, our analysis reveals a positive relation between EPU and the propensity to make poor lifestyle choices, including higher rates of alcohol consumption, a larger number of drinks consumed, and greater binge drinking. EPU has long-lasting effects on drinking behavior, consistent with habit formation. Moreover, the relation is stronger for younger individuals whose habits are more malleable. We find similar results when using smoking rates to measure unhealthy choices. [ABSTRACT FROM AUTHOR]

Published
2021
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12. Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector.

Author

Frame, W. Scott, Lazaryan, Nika, McLemore, Ping, and Mihov, Atanas

Subjects
BANKING industry, MACROECONOMICS, OPERATIONAL risk, SUPERVISION, DATA analysis
Abstract

Using supervisory data from large U.S. bank holding companies (BHCs), we document that operational loss recovery rates decrease in macroeconomic downturns. This procyclical relationship varies by business lines and loss event types and is robust to alternative data aggregations, macroeconomic measurement horizons, and estimation methodologies. Further analysis shows that resource constraints faced by BHC risk management functions are a plausible explanation for these patterns. Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision. [ABSTRACT FROM AUTHOR]

Published
2022

16. Haste Makes Waste: Banking Organization Growth and Operational Risk.

Author

Frame, W. Scott, McLemore, Ping, and Mihov, Atanas

Subjects
BANKING industry, MERGERS & acquisitions, OPERATIONAL risk, FINANCIAL crises, RISK management in business
Abstract

This study shows that banking organization growth is associated with higher operational losses per dollar of total assets and incidence of tail risks. Event studies using M&A activity and instrumental variable regressions provide consistent evidence. The relationship between banking organization growth and operational risk varies by loss event types and balance sheet categories. We demonstrate that higher growth predicts worse operational risk realizations during the global financial crisis. These findings have implications for bank performance, risk management and supervision in a continually consolidating banking industry. [ABSTRACT FROM AUTHOR]

Published
2020
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20. Do Mutual Funds Have Decreasing Returns to Scale? Evidence from Fund Mergers

Author

Kelley, Eric, Sias, Richard, Cederburg, Scott, Hirano, Keisuke, Klasa, Sandy, McLemore, Ping Wang, Kelley, Eric, Sias, Richard, Cederburg, Scott, Hirano, Keisuke, Klasa, Sandy, and McLemore, Ping Wang

Abstract

Using fund mergers as shocks to fund size, I analyze return-to-scale properties of mutual funds. The results show that acquiring funds experience performance deterioration after abnormal size increases due to mergers. Funds that have a larger shock in size at the time of mergers are more likely to experience worse declines in performance after the events. In the post-merger period, investors redeem their shares from the poorly performing acquiring funds, and both the declining performance and persistent capital outflows lead to decreases in size. As fund size decreases, performance tends to recover. These findings provide evidence that is consistent with mutual funds having decreasing returns to scale and more broadly with theoretical models of delegated portfolio, such as Berk and Green (2004).

Published
2015

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