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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - 2015
performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …-taking incentives arising from performance-based compensation of hedge funds. …
Persistent link: https://www.econbiz.de/10011310183
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False discoveries in mutual fund performance: Measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009
ability to find funds with persistent performance. …
Persistent link: https://www.econbiz.de/10010308687
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How should the long-term investor harvest variance risk premiums?
Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...
Persistent link: https://www.econbiz.de/10014420677
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On the relative performance of multi-strategy and funds of hedge funds
Agarwal, Vikas; Kale, Jayant R. - 2007
. The superior performance of MS funds continues to hold even when we control for fund characteristics such as size … MS funds and FOFs can co-exist in equilibrium in view of the significant differential in performance? We suggest that … ability in MS funds may be the driving force behind their superior performance relative to FOFs. …
Persistent link: https://www.econbiz.de/10010308689
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Managerial multitasking in the mutual fund industry
Agarwal, Vikas; Ma, Linlin; Mullally, Kevin - 2015
managers prior to multitasking (i.e., incumbent funds) experience performance deterioration while the performance of the …
Persistent link: https://www.econbiz.de/10011310182
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Dealer spreads in the corporate bond market: Agent vs. market-making roles
Ederington, Louis; Guan, Wei; Yadav, Pradeep K. - 2015
Utilizing subsets of trades in which dealers act purely as agents, purely as market-makers, and as both, we decompose dealer spreads in U.S. corporate bond OTC markets into components arising from: 1) dealers' marketmaking role, and 2) their role as agents for their non-dealer customers. We find...
Persistent link: https://www.econbiz.de/10011331382
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - 2017
The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...
Persistent link: https://www.econbiz.de/10011662549
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012026516
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Traditional investment research and social networks: Evidence from Facebook connections
Dyer, Travis; Köchling, Gerrit; Limbach, Peter - 2024
We show that investors acquire more public information about firms to which they are more socially proximate. On average, a standard deviation increase in the Social Connectedness Index (Bailey et al., 2018) between a firm's headquarter county and a searcher county is associated with 30% more...
Persistent link: https://www.econbiz.de/10014528308
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Option return predictability with machine learning and big data
Bali, Turan G.; Beckmeyer, Heiner; Moerke, Mathis; … - 2021
nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option …
Persistent link: https://www.econbiz.de/10012625082