Browsing Research documents by Author "Rangvid, Jesper"
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Rangvid, Jesper; Sørensen, Carsten (København, 2000)[More information][Less information]
URI: http://hdl.handle.net/10398/7163 Files in this item: 1
rangvid_soerensen_wp2000-8.pdf (945.5Kb) -
Rangvid, Jesper; Sørensen, Carsten (København, 1998)[More information][Less information]
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Construction and information content of an investor-cost based rating of Danish mutual fundsBechmann, Ken L.; Rangvid, Jesper (København, 2005)[More information][Less information]
Abstract: We develop a new rating of mutual funds: the atpRating. The atpRating assigns crowns to each individual mutual fund based upon the costs an investor pays when investing in the fund in relation to what it would cost to invest in the fund’s peers. Within each investment category, the rating assigns five crowns to funds with the lowest costs and one crown to funds with the highest costs. We investigate the ability of the atpRating to predict the future performance of a fund. We find that an investor who has invested in the funds with the lowest costs within an investment category would have obtained an annual risk-adjusted excess return that is approximately 3-4 percentage points higher per annum than if the funds with the highest costs had been invested in. We compare the atpRating with the Morningstar Rating. We show that one reason why the atpRating and the Morningstar Rating contain different information is that the returns Morningstar uses as inputs when rating funds are highly volatile whereas the costs the atpRating uses as inputs when rating funds are highly persistent. In other words, a fund that has low costs one year will most likely also have low costs the following year, whereas the return of a fund in a certain year generally contains only little information about the future return that the fund will generate. Finally, we have information on the investments in different mutual funds made by a small subgroup of investors known to have been exposed to both the atpRating and the Morningstar Rating, i.e. information is provided on how investors use the two ratings. We find that investors have a clear preference for high-rated funds. URI: http://hdl.handle.net/10398/7194 Files in this item: 1
endeligt_wp_2005_6.pdf (598.9Kb) -
Effects on Capitalization and Lending Decisions of BanksKragh, Jonas; Rangvid, Jesper (Frederiksberg, 2016)[More information][Less information]
Abstract: Unique and confidential Danish data allow us to identify how changes in disclosure requirements and bank-specific time-varying capital requirements affect banks'lending and capital accumu- lation decisions. We find that banks increase their capital ratios after capital requirements are increased, implying that resilience in the banking system is also increased. The increase in capital ratios is partly due to a modest reduction in lending. Using a policy changes, we show that banks react stronger to changes in capital requirements when these are public. Our results further suggest that the impact of capital requirements di¤er for small and large banks. Large banks raise their capital ratios more, reduce lending less, and accumulate more new capital compared to small banks. URI: http://hdl.handle.net/10398/9314 Files in this item: 1
Kragh_Rangvid_May 2016.pdf (284.6Kb)
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