Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung von Kapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz der Risikomaße...

English Abstract: We estimate systemic risk in the Korean economy using the econometric measures of commonality and connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the economy in large business groups and a few...

We show that new managers who take over mutual fund portfolios typically proceed to sell off inherited momentum losers. They sell losers at higher rates than stocks in any other momentumdecile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior...

The paper develops a model of the hedge fund industry in which the different fees charged (management fees and redemption fees) are determined endogenously in a competitive market setting. The heterogeneity in managerial skills, the wide variety of the hedge fund strategies and the existence of...

This paper provides the first systematic analysis of performance patterns for emerging hedge funds and managers in the hedge fund industry. Emerging managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than...

We show that new managers who take over mutual fund portfolios typically proceed to sell off inherited momentum losers. They sell losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior...

Believers in the law of small numbers tend to overinfer the outcome of a random process after a small series of observations. They believe that small samples replicate the probability distribution properties of the population. We provide empirical evidence indicating that investors are...

We explore the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors using a regime switching model. We report three previously undocumented features in hedge fund data. First, we find a weak inflow-performance relation at quarterly...

This paper examines the timing ability of hedge funds covering various investment categories. We extend the Treynor-Mazuy (1966) and Henriksson-Merton (1981) market timing models to a multiple market framework and propose the concept of a focus market in which a fund trades most actively....

In this paper the relation between aggregate mutual fund flows and stock market returns is analysed with respect to three issues. First, we study the relation between fund flows and long-term realized returns (past, current and future). Second, we find out that fund flows are not driven by...