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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010837529
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Fund liquidation, self-selection and look-ahead bias in the hedge fund industry
Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004
A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...
Persistent link: https://www.econbiz.de/10010837672
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Currency Hedging for International Stock Portfolios
de Roon, de Roon, F.A.; Nijman, Nijman, T.E.; Werker, B.J.M. - Erasmus Research Institute of Management (ERIM), … - 2000
This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a … show that static hedging with currency forwards does not lead to improvements in portfolio performance for a US investor … one of the currencies, currency hedging clearly improves his portfolio performance. While these results hold for investors …
Persistent link: https://www.econbiz.de/10010731133