The main focus of this paper is to explore the potential for improving econometric specification in modeling hedge fund returns. Specifically, we examine the effects of (1) correcting for selectivity bias due to sample attrition; (2) allowing for nonlinearity; and (3) controlling for...

This study examines one‐day forward premiums at the hourly level on the New York independent systems operator wholesale electricity market for the period 2001–2005. Examining two representative zones, the authors show that premiums vary by hour of day, day of week, and month. We report...

In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the...

This paper examines the relation between the performance of small-cap equity mutual funds and the liquidity characteristics of their asset holdings. We study the trading behavior of fund managers and show that on average, they tend to buy less liquid stocks and sell more liquid stocks. We...

We provide evidence of a significant relation between diversification and performance in the hedge fund industry. Measuring diversification across four distinct dimensions, we find a significant positive relation between hedge fund performance and diversification across sectors and asset...

Evidence of speculator profit and TCC price less than congestion charges suggests that additional competition in the TCC auction should be encouraged as a way to increase efficiency and lower the price of this "insurance" for hedgers.

"We present hedge fund performance estimates that adjust for stale prices, Fama-French risk factors and skewness. We contrast these new performance estimates with traditional performance measures. Using three-factor models to adjust for staleness in prices and to incorporate Fama-French factors...

Among the decisions that most mutual fund portfolio managers make is the number of stocks to hold. We posit that there is an optimal number of stocks for each mutual fund, reflecting the trade-off between diversification benefits versus transactions and monitoring costs. We find a significant...