This study examines the selectivity and timing performance of 218 UK investment trusts over the period July 1981 to June 2009. We estimate the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models augmented with the size, value, and momentum factors, either under the OLS method...

The article examines microstructure issues in the Australian Interbank futures market by analyzing the price adjustment process following scheduled cash target rate announcements by the Reserve Bank of Australia. In characterizing the market response, three distinct stages of price formation and...

This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors’ behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international...

Utilizing information disclosures of open-market repurchases in Taiwan, this paper investigates two topics. The first is the association between corresponding announcing information and market responses. The results show that intention ratio is positively correlated with two-day announcement...

In this paper we investigate the bond price effect upon the information arrival of firm-specific idiosyncratic risk. We consider idiosyncratic dispersion and idiosyncratic volatility that capture, respectively, the direction of information and the magnitude of idiosyncratic risk. We find that...

In this article, we analyse whether the class of adequately defined drawdown-based performance measures produces hedge fund rankings similar to the one that can be obtained using the Sharpe ratio. Supported by a series of robustness checks, we find that the choice of performance measure does not...

The currency carry-trade, which consists of selling low-yielding currencies and investing in high-yielding currencies, has the potential to be a new alternative asset class in the asset allocation decision. Using the Sharpe ratio and other performance measures, carry-trade displays noticeable...

We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the...

The impact of fees on mutual fund performance has received little research attention as is also the cases of performance differences of two classes of funds, one the common mutual funds and the other mutual funds with strict compliance with filters based on a number of binding restrictions as in...

This paper proposes a methodological improvement to empirical studies of herd behavior based on investor transactions. By developing a simple model of trading behavior, we show that the traditionally used herding measure produces biased results. As this bias depends on characteristics of the...