This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for styles, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with...

This paper approaches the central questions of the identification and the price of risk in an international asset pricing context. We construct and use factor mimicking portfolios to obtain factor loadings for testing unconditional and conditional pricing. We use a new measure of specification...

This paper examines the size-effect in the German stock market and intends to address several unanswered issues on this widely known anomaly. Unlike recent evidence of a reversal of the size anomaly we document a conditional relation between size and returns. We also detect strong momentum...

Empirical modeling of dividends has been dominated by Lintner (1956). However, Lintner's model suffers from the logical paradox that if companies have target payout ratios then in the steady state the companies will have reached those target payout ratios. Moreover as demon-strated by Bond and...

In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns)...

Bank loan syndicate structure can be considered as an organizational response to agency problems stemming from the syndication process. The banking environment also influences the syndication process. We investigate how syndicate structure is influenced by the characteristics of the banking...

A motivation for central bank independence (CBI) is that policy delegation helps politicians manage diverse coalitions. This paper develops a model of coalition formation that predicts when delegation will occur. An analysis of policy preferences survey data and CBI indicators supports the...

We consider an economy of firms with cross-held securities. The value of the debt contract in such a network depends on the value of other debt contracts. This has the potential to induce contagion effects. The article proposes a Monte-Carlo algorithm to solve the problem of debt prices in an...

The primary objective of this study is to evaluate empirically the ability of two cross-sectional models, the Cross-Sectional Jones Model and the Cross-Sectional Modified Jones Model, to detect earnings management vis-a-vis their time-series counterparts. The motivation follows because these two...

Empirical studies on corporate decisions often employ the treatment model, the Heckman selectivity model, or the matched sample method and find that one choice (treatment) is strictly better than the other. These results lead to a puzzle - why do some firms select the inferior choices? In this...