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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

We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures,...

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

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

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

Reliability and Competitive Electricity Markets

Joskow, Paul L; Tirole, Jean - C.E.P.R. Discussion Papers - 2007

This paper seeks to bridge the gap between economists focused on designing competitive market mechanisms and engineers focused on the physical attributes and engineering requirements they perceive as being needed for operating a reliable electric power system. The paper starts by deriving the...

Persistent link: https://www.econbiz.de/10005788956

Competition for Listings

Foucault, Thierry; Parlour, Christine A - C.E.P.R. Discussion Papers - 1999

We develop a model in which two profit maximizing exchanges compete for IPO listings. They choose the listing fees paid by firms wishing to go public and control the trading costs incurred by investors. All firms prefer lower costs, however firms differ in how they value a decrease in trading...

Persistent link: https://www.econbiz.de/10005789046

Lessons from the 2007 Financial Crisis

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2007

adequacy requirements, privately rational but socially inefficient disintermediation, and competitive international de-regulation …

Persistent link: https://www.econbiz.de/10005791213

The Structure of Services in Europe: A Conceptual Framework

Sapir, André - C.E.P.R. Discussion Papers - 1991

Thirty years ago, when the Treaty of Rome came into effect, agriculture and manufacturing dominated activity in the European Community (EC). Today, in every member state, services account for more production and employment than agriculture and manufacturing combined. The growing role of services...

Persistent link: https://www.econbiz.de/10005791734

The Allocative Cost of Price Ceilings: Lessons to be Learned from the US Residential Market for Natural Gas

Davis, Lucas W; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

federal regulation. Several studies have measured the deadweight loss from the price ceilings that were imposed during this … analysis for the regulation of other markets. Using a household-level, discrete-continuous model of natural gas demand we …-2000, effectively doubling previous estimates of the total welfare losses from natural gas regulation. We find that these allocative …

Persistent link: https://www.econbiz.de/10005791833