Similar Search Results

Measuring Loss Potential of Hedge Fund Strategies

Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Persistent link: https://www.econbiz.de/10005134729

An Analysis of Hedge Fund Performance

Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

PRICE DISCOVERY IN THE ATHENS DERIVATIVES EXCHANGE: EVIDENCE FOR THE FTSE/ASE-20 FUTURES MARKET

Kenourgios, Dimitris - EconWPA - 2005

The FTSE/ASE-20 futures market, as the first organised Greek derivatives market, established in August 1999 and its operation rests with the Athens Derivatives Exchange (ADEX) and the Athens Derivatives Exchange Clearing House (ADECH). Cointegration tests are used and an error correction model...

Persistent link: https://www.econbiz.de/10005413199

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

LOS, CORNELIS A. - EconWPA - 2004

The efficiency of speculative markets, as represented by Fama's 1970 fair game model, is tested on weekly price index data of six Asian stock markets - Hong Kong, Indonesia, Malaysia, Singapore, Taiwan and Thailand - using Sherry's (1992) non-parametric methods. These scientific testing methods...

Persistent link: https://www.econbiz.de/10005076962

CORTE TRANSVERSAL DE LOS RETORNOS ESPERADOS EN EL MERCADO ACCIONARIO CHILENO

Rubio, Fernando - EconWPA - 2004

La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...

Persistent link: https://www.econbiz.de/10005076996

International Cross-Listing: The Effects of Market Fragmentation and Information Flows

Podpiera, Richard - EconWPA - 2001

We investigate the effects of market fragmentation and information flows in the case of stocks cross-listed on markets in Central Europe and London. First, we test for co-movement, interaction and error correction behavior between the local and London markets. Our results suggest that strong...

Persistent link: https://www.econbiz.de/10005125054

Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of … international equity markets. We use an empirical model of portfolio flows with both public and private information to extract … global factor helps explain the cross section of international equity returns, after controlling for public information. The …

Persistent link: https://www.econbiz.de/10005125533

EFICIENCIA SIMPLE DEL MERCADO DE RENTA FIJA EN CHILE

Rubio, Fernando - EconWPA - 2004

Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...

Persistent link: https://www.econbiz.de/10005134666

Efficiency tests in the Iberian stock markets

Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

Persistent link: https://www.econbiz.de/10005134722

How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market

Hanousek, Jan; Podpiera, Richard - EconWPA - 2001

The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...

Persistent link: https://www.econbiz.de/10005134765

1
2
3
4
5
6
7
8
9
10
Next
Last