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On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

Persistent link: https://www.econbiz.de/10009205059

On the Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge...

Persistent link: https://www.econbiz.de/10008468551

Performance Measures for Dynamic Portfolio Management

Nielsen, Lars Tyge; Vassalou, Maria - C.E.P.R. Discussion Papers - 1998

This paper proposes instantaneous versions of the Sharpe ratio and Jensen’s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the...

Persistent link: https://www.econbiz.de/10005666483

Evaluating Style Analysis

de Roon, Frans; Nijman, Theo E; ter Horst, Jenke - C.E.P.R. Discussion Papers - 2002

In this Paper we evaluate (return based) style analysis. The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking factor portfolios without short positions. We use a simple simulation experiment to show that imposing these constraints in estimating...

Persistent link: https://www.econbiz.de/10005791320

Judging Fund Managers by the Company They Keep

Cohen, Randolph; Coval, Joshua; Pástor, Luboš - C.E.P.R. Discussion Papers - 2003

persistence in the performance of US equity funds after accounting for momentum in stock returns. …

Persistent link: https://www.econbiz.de/10005792101

Incentives and Managerial Experience in Multi-Task Teams: Evidence from Within a Firm

Griffith, Rachel; Neely, Andrew - C.E.P.R. Discussion Papers - 2007

This paper exploits a quasi-experimental setting to estimate the impact that a multi-dimensional group incentive scheme had on branch performance in a large distribution firm. The scheme, which is based on the Balanced Scorecard, was implemented in all branches in one division, but not in...

Persistent link: https://www.econbiz.de/10005662113

The effect of audit regimes on applications for long-term care

Lindeboom, Maarten; van der Klaauw, Bas; Vriend, Sandra - C.E.P.R. Discussion Papers - 2015

This paper studies the effects of various audit regimes, differing in the degree of control and the presence of performance incentives, on behavior of care providers filing applications for providing long-term care services to patients. We present evidence from a large-scale field experiment in...

Persistent link: https://www.econbiz.de/10011272714

Audit rates and compliance: A field experiment in long-term care

Lindeboom, Maarten; van der Klaauw, Bas; Vriend, Sandra - C.E.P.R. Discussion Papers - 2014

-post auditing. Our results do not show significant effects of variations in random audit rates and switching to a conditional audit …

Persistent link: https://www.econbiz.de/10011083445

Corporate Fraud, Governance and Auditing

Immordino, Giovanni; Pagano, Marco - C.E.P.R. Discussion Papers - 2008

when liquidation would be value-increasing. To curb fraud, shareholders optimally choose auditing quality and the … performance sensitivity of managerial pay, taking external corporate governance and auditing regulation into account. For given … managerial pay, it is optimal to rely on auditing when external governance is in an intermediate range. When both auditing and …

Persistent link: https://www.econbiz.de/10005792136

Specific Knowledge and Performance Measurement

Raith, Michael - C.E.P.R. Discussion Papers - 2004

This Paper examines optimal incentives and performance measurement in a setting where an agent has specific knowledge about the consequences of their actions for the principal. I study incentive contracts in which the agent’s compensation can be based on both ‘input’ measures closely...

Persistent link: https://www.econbiz.de/10005504471