We use mutual fund manager data from the technology bubble to examine the hypothesis that inexperienced investors play a role in the formation of asset price bubbles. Using age as a proxy for managers' investment experience, we find that around the peak of the technology bubble, mutual funds run...

We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return but also reflects differential aversion to upside and downside risk. The measure we propose is a ratio of gains to losses, with the gains and losses weighted (if desired) to...

With $2.1 trillion assets invested in mutual funds, investors spend enormous time and effort on selecting funds. Do investors in aggregate display fund selection ability? Gruber (1996) finds evidence to support selection ability among active mutual fund investors. Using a large sample of equity...

AlpInvest was created in 1999 as a joint venture between Dutch pension funds ABP and PGGM to create a strong platform for their private equity investments This case study examines the strategic rationale for setting up this private equity joint venture, and evaluates the pros and cons. We...

Hedge funds just celebrated their first anniversary in Spain but their origins date back to the midtwentieth century. Since then, this industry has grown continuously worldwide from a few funds in a few famous managers' hands to thousands of them operating in a heterogeneous universe of...

This paper presents a thorough review, including the authors' latest thinking, of one of the most persistent and troubling puzzles to the efficient market hypothesis: the closed-end fund puzzle.Financial economists have intensely scrutinised the economic explanations of the discount within the...

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply...

We address two important shortcomings in the persistence literature. The first is the possibility that the documented persistence could be due to calendar-related distortions of fund returns instead of skill differentials. We also explore the possibility that Carhart's popular 4-factor model of...

Following the decline in global equity markets, the rise in bond prices and the downward revisions to assumed mortality rates between 2001 and 2003, the UK's defined benefit (DB)pensions industry went from a situation where surpluses and scheme sponsor contribution holidays were commonplace, to...

Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the...