Using a consolidated hedge fund database, we form hedge fund portfolios that combine optimally the information revealed by fund characteristics. We show that investors maximizing constant relative risk-aversion (CRRA) utility should tilt their portfolio weights towards smaller funds with high...

For over 30 years, observers of financial markets have been puzzled by the behaviour of the market model residuals. This research offers one answer to two of the questions raised by the anomalous behaviour of the residuals. The first is the failure of cumulative abnormal residuals (CARs) to be...

This research discovers a possible pattern of market response to the degree of interim disclosure. All of the interim reports submitted by non-financial sector listed firms on the Helsinki Exchanges over the period 1985–1993 are examined. When a 20-day post-announcement period is...