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...

Low credit risk firms realize higher returns than high credit risk firms. This effect is puzzling because investors seem to pay a premium for bearing credit risk. This paper shows that the credit risk effect manifests itself due to the poor performance of low-rated stocks during periods of...

We propose a new structural form methodology for understanding the fluctuations and predictability of volatilities and covariances of asset returns. In our model, a representative agent learns about the joint movements in inflation and real earnings through business cycles. We extract investors'...

This research evaluates the fundamental causes of the current financial crisis. Close financial analysis indicates that theoretical modeling based on unrealistic assumptions led to serious problems in mispricing in the massive unregulated market for credit default swaps that exploded upon...

In this study we examine a causal relationship between series of returns and traded volumes in high-frequency data. Our analysis is based on the methodology of Ghysels, Gourieroux and Jasiak (2000), who develop a qualitative framework in which dynamics of financial series are restricted to...

Prior research in the Australian equity market has failed to fully document the well-known influences of size and book-to-market effects that have been evidenced in other markets. While much is known about the size effect in Australia, data limitations have curtailed attempts to analyse the...

We analyze the results of a recent survey of U.S. Chief Financial Officers (CFOs) conducted in 2008. We present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. This multi-year survey has been conducted every quarter from June 2000...

The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by around 10.9% per year on a risk-adjusted...

We apply an ex ante measure of heterogeneity in investor beliefs - excess industry volatility - to test the Miller (1977) prediction about IPO overvaluation in a sample of 7,212 IPOs from 1980 to 2003. Generally, IPOs in industries with high investor heterogeneity of beliefs have much higher...

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...