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Hedge Funds: Performance, Risk and Capital Formation
Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006
We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … superior performance over time. In keeping with this implication, we provide evidence that even successful hedge funds have … experienced a recent, dramatic decline in risk-adjusted performance. …
Persistent link: https://www.econbiz.de/10005792343
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The Dynamics of Financially Constrained Arbitrage
Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide liquidity to investors. A collateral...
Persistent link: https://www.econbiz.de/10011184076
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Buffett’s Alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10011083650
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The Impact of Hedge Funds on Asset Markets
Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014
This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...
Persistent link: https://www.econbiz.de/10011084210
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Change You Can Believe In? Hedge Fund Data Revisions
Patton, Andrew J; Ramadorai, Tarun; Streatfield, Michael - C.E.P.R. Discussion Papers - 2012
available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time … performance histories significantly and predictably underperform those that have never revised, suggesting that unreliable …
Persistent link: https://www.econbiz.de/10011084298
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Advertising and Mutual Funds: From Families to Individual Funds
Gallaher, Steven; Kaniel, Ron; Starks, Laura T - C.E.P.R. Discussion Papers - 2015
-advertising families. At the family level, flows have a convex relation with advertising expenditures, similar to that for performance … redemptions rather than increasing purchases of fund shares. We further find that advertising can affect the fund’s flow-performance …
Persistent link: https://www.econbiz.de/10011145467
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Asset Allocation and Monetary Policy: Evidence from the Eurozone
Hau, Harald; Lai, Sandy - C.E.P.R. Discussion Papers - 2013
The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...
Persistent link: https://www.econbiz.de/10011083941
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Real Effects of Stock Underpricing
Hau, Harald; Lai, Sandy - C.E.P.R. Discussion Papers - 2012
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...
Persistent link: https://www.econbiz.de/10011084351
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The Role of Equity Funds in the Financial Crisis Propagation
Hau, Harald; Lai, Sandy - C.E.P.R. Discussion Papers - 2012
The early stage of the recent financial crisis was marked by large value losses for bank stocks. This paper identifies the equity funds most affected by this valuation shock and examines its consequences for the non-financial stocks owned by the respective funds. We find that (i) ownership links...
Persistent link: https://www.econbiz.de/10011084661
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Asset Management Contracts and Equilibrium Prices
Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014
, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes … overvalued assets. Socially optimal contracts provide steeper performance incentives and cause larger pricing distortions than …
Persistent link: https://www.econbiz.de/10011084367