Narrow search
Showing 1 - 10 of 429
Cover Image
Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015
We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS … exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less … liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various …
Persistent link: https://www.econbiz.de/10011272713
Cover Image
Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015
We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond yield spreads as bank credit supply tightens. Debt...
Persistent link: https://www.econbiz.de/10011252612
Cover Image
Investor Interest and Hedge Fund Returns
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010
Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following...
Persistent link: https://www.econbiz.de/10008692307
Cover Image
The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2008
Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at...
Persistent link: https://www.econbiz.de/10005666409
Cover Image
Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs
Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2001
under which arbitrageurs take excessive or too little risk. …
Persistent link: https://www.econbiz.de/10005666703
Cover Image
Evaluating Portfolio Performance with Stochastic Discount Factors
Dahlquist, Magnus; Söderlind, Paul - C.E.P.R. Discussion Papers - 1997
This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First, we discuss evaluation in this setting, and relate it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of...
Persistent link: https://www.econbiz.de/10005791557
Cover Image
Predatory Trading
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
Cover Image
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 … the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns … experienced a recent, dramatic decline in risk-adjusted performance. …
Persistent link: https://www.econbiz.de/10005792343
Cover Image
On the Size of the Active Management Industry
Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2010
We analyze the equilibrium size of the active management industry and the role of historical data---how investors use it to decide how much to invest in the industry, and how researchers use it to judge whether the industry's size is reasonable. As the industry's size increases, every manager's...
Persistent link: https://www.econbiz.de/10008468523
Cover Image
Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2010
equilibrium version of the model with heterogeneous investors who are familiar with different assets, we find that the risk … premium of stocks depends on both systematic and idiosyncratic volatility, and that the equity risk premium is significantly …
Persistent link: https://www.econbiz.de/10008468537