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Explaining hedge fund investment styles by loss aversion
Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10011326964
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Hedge fund portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2014
a challenging one for the application of diversification and portfolio investment strategies. The analysis features an … examination of the diversification benefits of hedge fund investments through successive crisis periods. The connectedness of the … of portfolio optimisation analyses: comparing Markowitz with naive diversification, and evaluate the relative …
Persistent link: https://www.econbiz.de/10010465157
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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Market liquidity and exposure of hedge funds
Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011
Persistent link: https://www.econbiz.de/10009720730
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Hole in the wall : informed short selling ahead of private placements
Berkman, Henk; McKenzie, Michael D.; Verwijmeren, Patrick - 2013
Persistent link: https://www.econbiz.de/10010191213
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Profit shifting and productivity mismeasurement
Bartelsman, Eric J.; Beetsma, Roel - 2000
This note identifies profit shifting in response to cross-countrydifferences in corporate tax rates as a source of productivitymismeasurement. To quantify the magnitude of mismeasurement, theprofit-shifting effect is isolated from other possible effects ofcorporatetax rates changes on real...
Persistent link: https://www.econbiz.de/10011304391
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Market liquidity, investor participation and managerial autonomy : why do firms go private?
Boot, Arnoud W. A.; Gopaian, Radhakrishnan; Thakor, Anjan V. - 2005
We analyze a publicly-traded firm's decision to stay public or go private when managerial autonomy from shareholder intervention affects the supply of productive inputs by management. We show that both the advantage and the disadvantage of public ownership relative to private ownership lie in...
Persistent link: https://www.econbiz.de/10011348720
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Private equity waves
Smit, Han T. J.; Berg, Ward A. van den - 2006
This study presents a dynamic model for the private equity market in which information revelation and uncertainty rationally explain the cyclical pattern of investment flows into private equity. The net benefit of private equity over public equity is i) uncertain and ii) agents have private...
Persistent link: https://www.econbiz.de/10011349200
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What drives the quotes of earnigns forecasters?
Bruijn, Bert de; Franses, Philip Hans - 2012
Persistent link: https://www.econbiz.de/10009723028