This paper studies the performance of mutual funds around the world using a sample of 10,568 open-end actively managed equity funds from 19 countries between 1999 and 2005. Performance is measured using four alternative benchmark models, including an international version of the Cahart...

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

The early stage of the recent ?nancial crisis was marked by large value losses for bank stocks. This paper identi?es the equity funds most affected by this valuation shock and examines its consequences for the non-?financial stocks owned by the respective funds. We find that (i) ownership links...

In this article, we study the effect of liquidity risk on the performance of various hedge fund portfolio strategies. The portfolio strategies in each hedge fund style are formed by incorporating predictability in: (i) managerial skills, (ii) fund risk loadings, and (iii) benchmark returns. As...

This paper develops a simple technique that properly controls for “false discoveries,” or mutual funds that exhibit significant alphas by luck alone, to evaluate the performance of actively managed U.S. domestic-equity mutual funds during the 1975 to 2006 period. Our approach precisely...

We develop a principal-agent model based on a sequential game played by a representative investor and a fund manager in an asymmetric information framework. The model shows that investors’ perceptions of the fund market play the key role in the fund’s fee-setting mechanism. The managers’...

This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. We find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. These deviations are found to be substantially...

Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles followed by their collapse. Governments and regulatory agencies have made it a prime goal to moderate future crises. Many attempts at financial, economic and social engineering...

Hedge fund indices have grown in numbers over the recent years and made their presence widespread through a number of providers. Assets linked to hedge fund indices currently exceed $12 billion, and the debate is now focusing on whether they should be considered as eligible assets for UCITS III...

Some investment advisors offer multiple versions of a fund with the same manager and highly correlated returns. But these “twin” funds are separate portfolios for different investors with differing abilities to select and monitor managers. Using a matched sample of retail and institutional...