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Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004

This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10005791996

German real estate funds: changes in return distributions and portfolio favourability

Stein, Michael - In: Journal of European Real Estate Research 7 (2014) 1, pp. 87-111

Purpose – Since 2008, the German open-ended real estate fund (GOEREF) industry has experienced a critical phase of suspensions of redemption of fund shares, announced fund terminations and, eventually, introduction of a new regulation. With assets under the management of over 80 billion,...

Persistent link: https://www.econbiz.de/10014862883

Diversification in the hedge fund industry

Shawky, Hany A.; Dai, Na; Cumming, Douglas - In: Journal of Corporate Finance 18 (2012) 1, pp. 166-178

We provide evidence of a significant relation between diversification and performance in the hedge fund industry … performance and diversification across sectors and asset classes. We show that on a risk adjusted basis, hedge funds that … significant positive relation between performance and diversification across sectors. However, diversifying across asset classes …

Persistent link: https://www.econbiz.de/10010574250

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

Identifying Shocks to Systematic Risk in Times of Crisis

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Persistent link: https://www.econbiz.de/10014635656

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

Al-Shboul, Mohammad; Anwar, Sajid - In: Economic Modelling 37 (2014) C, pp. 451-463

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

Persistent link: https://www.econbiz.de/10010744019

Estimating behavioural heterogeneity under regime switching

Chiarella, Carl; He, Xue-Zhong; Huang, Weihong; Zheng, … - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 446-460

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...

Persistent link: https://www.econbiz.de/10010594619

Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)

Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43

We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama–MacBeth regressions, we find no...

Persistent link: https://www.econbiz.de/10011042812

The impact of liquidity on senior credit index spreads during the subprime crisis

Marra, Miriam - In: International Review of Financial Analysis 37 (2015) C, pp. 148-167

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by...

Persistent link: https://www.econbiz.de/10011191084

How much for a haircut? : illiquidity, secondary markets, and the value of private equity

Bollen, Nicolas P. B.; Sensoy, Berk A. - In: Financial management : FM 51 (2022) 2, pp. 501-538

Persistent link: https://www.econbiz.de/10013348530

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