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Returns to Active Management : The Case of Hedge Funds
Kazemi, Maziar - 2015
Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this … active managers outperform the moderately active funds and generate higher returns. We conclude that the most active managers … returns. Finally, we find that compared to the least active managers, the most active managers are less homogeneous and …
Persistent link: https://www.econbiz.de/10013032813
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Trade Reforms, Foreign Competition, and Labor Market Adjustments in the U.S
Kondo, Illenin - 2014
Using data on trade-induced displacements, this paper documents that locations facing more foreign competition in the U.S. have: higher job destruction rates, lower job creation rates, and thereby lower employment rates. In contrast to standard trade theory, a model with variable markups and...
Persistent link: https://www.econbiz.de/10014146889
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Trade Reforms, Foreign Competition, and Labor Market Adjustments in the U.S
Kondo, Illenin - 2017
Using data on trade-induced displacements, this paper documents that locations facing more foreign competition in the U.S. have: higher job destruction rates, lower job creation rates, and thereby lower employment rates. In contrast to standard trade theory, a model with variable markups and...
Persistent link: https://www.econbiz.de/10014121080
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U.S. International Equity Investment and Past Prospective Returns
Curcuru, Stephanie E. - 2011
Counter to extant stylized facts, using newly available data on country allocations in U.S. investors' foreign equity portfolios we find that (i) U.S. investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) U.S....
Persistent link: https://www.econbiz.de/10013128033
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International Capital Flows and the Return to Safe Assets in the United States, 2003-2007
Bernanke, Ben - 2011
Persistent link: https://www.econbiz.de/10013125323
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On Returns Differentials
Curcuru, Stephanie E. - 2013
Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class...
Persistent link: https://www.econbiz.de/10013083250
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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2010
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10013150847
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Asset Returns with Earnings Management
Sun, Bo - 2010
The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic...
Persistent link: https://www.econbiz.de/10013147043
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US equity tail risk and currency risk premia
Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - 2019 - This version: July 2019
Persistent link: https://www.econbiz.de/10012065069
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Variance risk premium components and international stock return predictability
Londono, Juan M.; Xu, Nancy R. - 2019
Persistent link: https://www.econbiz.de/10012004721