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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky Sherman, Mila - 2010
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012762841
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Do Professional Currency Managers Beat the Benchmark?
Pojarliev, Momtchil - 2008
We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these...
Persistent link: https://www.econbiz.de/10012773121
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What Moves the Discount on Country Equity Funds?
Hardouvelis, Gikas A. - 2010
, suggesting that investor 'sentiment' is a component of the price of a fund and not its NAV. Estimation of an unobserved … movements in the host country's stock market and overly sensitive to variation in the U.S. and world stock markets. This …
Persistent link: https://www.econbiz.de/10012763318
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
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Analyzing Investments Whose Histories Differ in Length
Stambaugh, Robert F. - 2010
-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …
Persistent link: https://www.econbiz.de/10012763664
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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Carry
Koijen, Ralph S. J. - 2013
A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that...
Persistent link: https://www.econbiz.de/10013077659
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The Empirical Risk-Return Relation : A Factor Analysis Approach
Ng, Serena - 2015
A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns. To the extent that financial market participants have...
Persistent link: https://www.econbiz.de/10012750681
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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10013138476
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Time-Varying Fund Manager Skill
Kacperczyk, Marcin T. - 2011
Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing...
Persistent link: https://www.econbiz.de/10013118131