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In this paper we investigate whether there are any significant differences in the ability of constant and time-varying expected return asset pricing models to detect superior performance in hedge funds. Our results strongly suggest that the static models traditionally employed to measure and...
Persistent link: https://www.econbiz.de/10005146618
This article studies the link between the predictability of futures returns and the business cycle. Modelling the relationship between the variation through time in expected futures returns and economic activity should give us some insight as to whether the predictable movements in futures...
Persistent link: https://www.econbiz.de/10005146620
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...
Persistent link: https://www.econbiz.de/10008542375
Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns...
Persistent link: https://www.econbiz.de/10005558315
In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including official interest rate decisions. We investigate whether the reaction to these...
Persistent link: https://www.econbiz.de/10001565848
Persistent link: https://www.econbiz.de/10013170862
Persistent link: https://www.econbiz.de/10011868723
In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including official interest rate decisions. We investigate whether the reaction to these...
Persistent link: https://www.econbiz.de/10010295704
Persistent link: https://www.econbiz.de/10003740996
Persistent link: https://www.econbiz.de/10003741002