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The Economic Value of Predicting Stock Index Returns and Volatility
Marquering, Wessel - 2009
index and its volatility. Using monthly data from 1954 to 2001, we test the statistical significance of return and …
Persistent link: https://www.econbiz.de/10012722206
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Do Sophisticated Investors Believe in the Law of Small Numbers?
Baquero, Guillermo - 2008
manager. Using quarterly data between 1994 and 2000 of 752 hedge funds, we look at investment and divestment decisions of …
Persistent link: https://www.econbiz.de/10012727161
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A Portrait of Hedge Fund Investors : Flows, Performance and Smart Money
Baquero, Guillermo - 2008
We explore the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of …
Persistent link: https://www.econbiz.de/10012727396
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Survival, Look-Ahead Bias and the Performance of Hedge Funds
Baquero, Guillermo - 2007
Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence. In...
Persistent link: https://www.econbiz.de/10012732359
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Selecting Copulas for Risk Management
Kole, Erik - 2006
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … downward movements, while the Gumbel copula overestimates this risk. Similarly we establish that the Gaussian copula is too …
Persistent link: https://www.econbiz.de/10012735295
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Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance
Verbeek, Marno - 2006
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking...
Persistent link: https://www.econbiz.de/10012735427
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Portfolio Implications of Systemic Crises
Kole, Erik - 2005
Systemic crises can have grave consequences for investors in international equity markets, because it causes the risk …
Persistent link: https://www.econbiz.de/10012737400
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Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry
ter Horst, Jenke - 2008
A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...
Persistent link: https://www.econbiz.de/10012772340
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Portfolio Implications of Systemic Crises
Kole, Erik - 2006
Systemic crises can have grave consequences for investors in international equity markets, because they cause the risk …
Persistent link: https://www.econbiz.de/10012780405
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The Economic Value of Predicting Stock Index Returns and Volatility
Marquering, Wessel - 2006
In this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce out-of-sample forecasts for the return on the Samp;P 500 index and its volatility. Using monthly data, we examine the...
Persistent link: https://www.econbiz.de/10012783462