Existing studies of household stock trading using administrative data offer conflicting results: discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

This PhD thesis analyses hedge fund strategies in detail by decomposing hedge fund performance figures. Our aim is to present hedge funds, to understand what managers expect to do and to understand how they make or destroy value over time. In order to achieve this objective, we develop a...

Hedge funds have an absolute return performance objective stated independently of the global market conditions. Nevertheless they have been compared to classical bond and equity indices by academics since the late 90ies. Independently of their absolute or relative performance it is of particular...

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama and French (1998), Agarwal and Naik (2000)...

This study analyses and decomposes hedge funds returns to detect a systematic hedge fund selection criteria that enables the investors to consistently and significantly outperform classical equities and bonds indices over a full market cycle and over bullish and bearish market periods. The...

Using an original database of 634 market neutral hedge funds, this study formally analyse the market neutrality of market neutral funds which are particular in the hedge fund universe. One of the basic objective of these funds is to provide positive returns completely independently of the market...

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. Our database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high...

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high...

Using an original database of 634 market neutral hedge funds, this study formally analyse the market neutrality of market neutral funds which are particular in the hedge fund universe. One of the basic objective of these funds is to provide positive returns completely independently of the market...

Hedge funds are becoming available to a broader spectrum of investors through funds of hedge funds and investible hedge funds indices. There is no formal official definition of the strategies applied but each database providers defines its own strategies, which can count as much as 20 different...