We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. We also adjust for database biases arising from voluntary self-reporting. Using a constant beta model, we find no evidence of excess returns for the average hedge...

Diversification has its obvious benefits but its pursuit can involve a trade-off between risk-controls and returns. We investigate this trade-off by examining the relative performance of diversified versus concentrated portfolios both formed on the basis of the same stock preferences. Using US...

One of several important strategic decisions that have to be made by an active funds management organization is how aggressively it implements its investment process. In this paper we model this decision on the assumption that the organization’s objective is to maximise the present value of...

Little empirical work has been done on the return properties of infrastructure as an asset class despite increased allocations by institutional investors. Managers claim infrastructure investments offer real return benefits via a combination of monopolistic and defensive assets. We build a...

Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to...

Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...

The post-earnings announcement drift (PEAD) was first identified over 40 years ago and seems to be as much alive today as it ever was. There have been numerous attempts to explain its continued existence. In this paper we provide evidence to support a new explanation: the PEAD is very much a...

Existing research suggests the average private equity* manager does not create excess returns over public markets net of fees. We confirm this result using a factor model that allows for leverage, illiquidity and volatility clustering. The model explains 70 to 90 per cent of the variation in...

The duo IPO anomalies of underpricing and long run underperformance have inspired a plethora of studies. Yet few have examined the impact of majority investors in IPOs, namely institutional investors. Consistent with previous studies, we found large underpricing which was greatest in those...