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False discoveries in the performance of Australian managed funds
Kim, Sangbae; In, Francis Haeuck; Ji, Philip Inyeob; … - In: Pacific-Basin finance journal 26 (2014), pp. 244-256
Persistent link: https://www.econbiz.de/10010498736
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …-taking incentives arising from performance-based compensation of hedge funds. …
Persistent link: https://www.econbiz.de/10011308590
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …
Persistent link: https://www.econbiz.de/10010485488
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Who creates and who bears flow externalities in mutual funds?
Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022
investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual …-sophisticated ones, are the main receivers. These differences are due to investment funds reacting more strongly on past performance and …
Persistent link: https://www.econbiz.de/10013435221
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Performance and performance persistence of UK closed-end equity funds
Bredin, Donal; Cuthbertson, Keith; Nitzsche, Dirk; … - In: International review of financial analysis 34 (2014), pp. 189-199
Persistent link: https://www.econbiz.de/10010529040
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Different risk-adjusted fund performance measures : a comparison
Grau Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …
Persistent link: https://www.econbiz.de/10003910120
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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Arbitrage in stationary markets
Evstigneev, Igor V. (contributor); Kapoor, Dhruv (contributor) - 2007
We analyse questions of arbitrage in fnancial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...
Persistent link: https://www.econbiz.de/10003550863
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An axiomatic treatment of enlarged separation portfolios and treasurer's portfolios (with applications to financial synthetics)
Apreda, Rodolfo - 2009
Expanded separation portfolios ( Se ) and Treasurer’s portfolios T( Se ) are a sect of themselves. They arise out of risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the common lot. This paper puts forth, firstly, a down-to-earth...
Persistent link: https://www.econbiz.de/10003875180
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A TIPS scorecard : are TIPS accomplishing what they were supposed to accomplish? : Can they be improved?
Barnes, Michelle L.; Bodie, Zvi; Triest, Robert K.; … - 2009
In September 1997, the U.S. Treasury developed the TIPS market in order to achieve three important policy objectives: (1) to provide consumers with a class of assets that allows for hedging against real interest rate risk, (2) to provide holders of nominal contracts a means of hedging against...
Persistent link: https://www.econbiz.de/10003941897