This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...

This study provides a comprehensive overview of the use of credit default swaps by U.S. corporate bond funds and analyzes in detail whether certain characteristics of managers, in addition to the fundamentals of a fund, determine how their use these credit derivatives. Results suggest that a...

We use the financial crisis of 2007-2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...

This study provides a comprehensive overview of the use of credit default swaps by U.S. corporate bond funds and analyzes in detail whether certain characteristics of managers, in addition to the fundamentals of a fund, determine how their use these credit derivatives. Results suggest that a...

This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...

In the last two decades, both internal and external risk management of banks has undergone significant developments. Substantial investments into data collection have been made and this data is used for estimating internal credit risk models. The resulting risk parameters are required for...

Using data for the period 1994-2013, we examine the return and risk-taking behavior of hedge funds having at least one female portfolio manager and funds that have all female portfolio managers. Funds with all female managers perform no differently than all male-managed funds and have similar...

We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1 / T, where C is cents-per-share, and T is the portfolio turnover. Thus, the portfolio return R has no statistically significant...

To examine whether managers of micro-cap mutual funds add value, we compare the performance of micro-cap mutual funds against a micro-cap index. Micro-cap funds are mutual funds that invest in small firms with market value less than $300 million. Micro-cap mutual funds typically are actively...