This study questions the rationality of people investing in HFs. I usea sample of London listed closed-end hedge funds to evaluate two criteriathat imply irrational behavior. I nd that the rationality of investorscan not be rejected for the majority of time. However, the results alsoimply that...

This paper examines how the evidence of stock market predictability affectsoptimal portfolio choice for buy-and-hold and dynamic investors withdifferent planning horizons. As in Barberis (2000), particular attention ispaid to estimation risk, i.e., uncertainty about the true values of the...

Based on the style analysis pioneered in [Sharpe, W.F. (1992). AssetAllocation: Management Style and Performance Measurement, Journalof Portfolio Management, 7-19.] I dene a procedure to examine theconsistency of hedge fund indexes across providers. The results of myinvestigation suggest that...

This paper provides a discussion about some recent issues related to the transfer ofcredit risk (CRT) from the perspective of global liquidity. The CRT market is enormouslygrowing and exhibits major structural shifts in terms of buyers and sellers ofprotection. I try to address these issues from...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...

Untersuchungsgegenstand des Projekts sind die Übertragungsmechanismen (contagion) derRisiken in Finanzsystemen durch Verhaltenssymmetrien (z.B. durch Risikomodelle und ihre regulierteUmsetzung), Intransparenz (z.B. über Beteiligungsgesellschaften etwa im Bereich PrivateEquity) und Moral Hazard...