The essence of investing is to generate return and manage risk. In the absence of arbitrage opportunities, return generation is about gaining exposure to risks that are well rewarded. To manage this exposure, we can diversify rewarded risks and hedge risks that are not rewarded. However, our...

This paper investigates the initial returns and long run performance of initial public offerings (IPOs) using a sample of 38 private equity-backed IPOs and 68 non-private equity-backed IPOs in the period 1985-1998 on the Amsterdam Stock Exchange. We find that private equity-backed firms...

Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly unobservable for this asset class. This paper aims to fill this gap by analyzing market risks of listed private equity vehicles. We show that aggregate market risk varies strongly over...

Inflation-indexed bonds represent a sizeable source of financing for corporations in emerging market countries, while they provide significant portfolio benefits to investors. In particular, inflation-indexed bonds can reduce borrowing costs and facilitate a maturity extension for a corporate...

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven by fundamentals and irrational sentiments not driven by...

We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is...

CoCos are contingently convertible debt securities. They are an infant reform instrument that grew out of the 2007-09 crisis. As hybrid capital, they convert to common equity tier 1 (CET1) outside bankruptcy when a built-in trigger level of the regulatory capital ratio with risk-weighted assets...

The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...

Alan Greenspan’s paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse, and the financial crisis were not predicted either by the market, the Fed, the IMF, or the regulators in the years leading...

This paper reports an investigation into measures of portfolio performance. The Sharpe ratio is the natural performance measure when asset returns come from any elliptically symmetric distribution, regardless of the investor utility function and subject only to regularity conditions. Under such...