We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

The noise trader sentiment model of De Long, Shleifer, Summers, and Waldmann (1990a) is applied to futures markets. The theoretical results predict that overly optimistic (pessimistic) noise traders result in market prices that are greater (less) than fundamental value. Thus, returns can be...

The focus of this study is the habitual speculator in commodity futures markets. The speculator's activity broadens a market, creates essential liquidity, and performs an irreplaceable pricing function. Working knowledge of the profiles and motivations of habitual speculators is essential to...

The purpose of this study is to investigate whether current economic activities in Turkey have explanatory power over stock returns, or not. The data used in this study are monthly stock price indexes of Istanbul Stock Exchange and a set of macroeconomic variables, including money supply,...

The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable...

After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. Among the methods discussed are: lognormal Edgeworth expansions, cumulant expansions, Hermite polynomial expansions, nonparametric kernel...

The paper considers theoretic reasoning of necessity and technological implementation of self-regulated monetary system based on commodity backed money. Transformational approach to conversion of the current monetary system model using modern exchange infrastructure and technologies in the USA...

The Chinese banking system, characterized by massive government intervention, poor asset quality and low capitalization, has started a reform process based on three main pillars: (i) bank restructuring, through the cleaning-up of non-performing loans and public capital injections, particularly...

Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics, Business Administration and Social Sciences A. CORHAY University of Liege - Department of Financial Management; University of Maastricht (formerly University of Limburg) -...

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...