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Hedge Fund Excess Returns Under Time-Varying Beta

Bird, Ron; Liem, Harry; Thorp, Susan - Finance Discipline Group, Business School - 2010

We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. We also adjust for database biases arising from voluntary self-reporting. Using a constant beta model, we find no evidence of excess returns for the average hedge...

Persistent link: https://www.econbiz.de/10008670390

Private Equity: Strategies for Improving Performance

Bird, Ron; Liem, Harry; Thorp, Susan - Finance Discipline Group, Business School - 2011

Existing research suggests the average private equity* manager does not create excess returns over public markets net of fees. We confirm this result using a factor model that allows for leverage, illiquidity and volatility clustering. The model explains 70 to 90 per cent of the variation in...

Persistent link: https://www.econbiz.de/10009493159

Parameterizing Unconditional Skewness in Models for Financial Time Series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - Finance Discipline Group, Business School - 2005

In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

Persistent link: https://www.econbiz.de/10004980458

Information processing and measures of integration: New York, London and Tokyo

Thorp, Susan; Milunovich, George - Finance Discipline Group, Business School - 2006

Equity markets do not pass all overnight information into prices instantaneously at the opening of trade. The New York market takes up to 30 minutes after the opening time to absorb overnight foreign news, Tokyo takes about 90 minutes, and London about 120 minutes on average. These delays in...

Persistent link: https://www.econbiz.de/10005041723

A Score Test for Discreteness in GARCH Models

Amilon, Henrik - Finance Discipline Group, Business School - 2002

The standard continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series … proposed model differ significantly from the one we would have if all variables were observed, i.e. an underlying latent GARCH … in no case does the proposed model differ significantly from an unobservable continuous-state GARCH model. …

Persistent link: https://www.econbiz.de/10005073658

Modelling Yen Futures Return Using Daily Data From IMM and Simex

Bhar, Ram - Finance Discipline Group, Business School - 1994

in the return series as a GARCH(1, 1) process. The results reject the martingale behaviour in the return but find a …

Persistent link: https://www.econbiz.de/10005073691