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How Active is Your Fund Manager? A New Measure That Predicts Performance
- M. Cremers, Antti Petajisto
- Business
- 31 March 2009
We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for…
Governance Mechanisms and Equity Prices
- M. Cremers, Vinay B. Nair
- Business, Economics
- 1 August 2003
We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. A portfolio that buys firms with the highest level of takeover…
Deviations from Put-Call Parity and Stock Return Predictability
- M. Cremers, David R. Weinbaum
- Business, Economics
- 1 April 2010
Deviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find…
The CEO Pay Slice
- L. Bebchuk, M. Cremers, U. Peyer
- Business
- 1 September 2010
We investigate the relation between the CEO Pay Slice (CPS)--the fraction of the aggregate compensation of the top-five executive team captured by the Chief Executive Officer--and the value,…
Governance Mechanisms and Bond Prices
- M. Cremers, Vinay B. Nair, C. Wei
- Business
- 1 October 2006
We investigate the effects of shareholder governance mechanisms on bondholders and document two new findings. First, the impact of shareholder control (proxied by large institutional blockholders) on…
Stock Return Predictability: A Bayesian Model Selection Perspective
- M. Cremers
- Economics
- 19 June 2000
TLDR
Takeovers and the Cross-Section of Returns
- M. Cremers, Vinay B. Nair, Kose John
- Economics, Business
- 1 August 2007
This paper considers the impact of takeover (or acquisition) likelihood on firm valuation. If firms are more likely to acquire during times when they have free cash and/or when the required rate of…
Tiebreaker: Certification and Multiple Credit Ratings
- Dion Bongaerts, M. Cremers, William N. Goetzmann
- Economics, Business
- 1 September 2009
This paper explores the economic role credit rating agencies play in the corporate bond market. We consider three existing theories about multiple ratings: information production, rating shopping and…
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
- M. Cremers, Antti Petajisto, Eric Zitzewitz
- Economics
- 21 January 2010
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these…
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