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Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

Persistent link: https://www.econbiz.de/10003966170

Hedge fund performance under misspecified models

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020

We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

Persistent link: https://www.econbiz.de/10012419384

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

Opacity in financial markets

Sato, Yuki - 2013

This paper studies the implications of opacity in fi nancial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products)....

Persistent link: https://www.econbiz.de/10010257853

Strategic interaction between hedge funds and prime brokers

Gerasimova, Nataliya; Jondeau, Eric - 2018

parametrizations. We find that this interaction may give rise to some undesirable implications, such as an increase in overall risk and …

Persistent link: https://www.econbiz.de/10011900332

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse …

Persistent link: https://www.econbiz.de/10003979515

The perils of performance measurement in the German mutual-fund industry

Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...

Persistent link: https://www.econbiz.de/10009751161

Delegated portfolio management, optimal fee contracts, and asset prices

Sato, Yuki - 2015

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …

Persistent link: https://www.econbiz.de/10011293478

Global portfolio rebalancing and exchange rates

Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018

incomplete FX risk trading in which exchange rate risk partially segments international equity markets …

Persistent link: https://www.econbiz.de/10011875988

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