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Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10010324945

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; de Vries, Casper G. - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10010326197

Bayesian inference for hedge funds with stable distribution of returns

Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; … - 2010

Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...

Persistent link: https://www.econbiz.de/10010301731

Hedge-Fonds: Heuschrecken des internationalen Finanzsystems?

Marquardt, Ralf-M. - In: Wirtschaftsdienst 87 (2007) 4, pp. 211-215

Industrieländer mit zunehmendem Unbehagen betrachtet. In Hinblick auf Hedge-Fonds soll bis zum G-8-Gipfel im Juni dieses Jahres ein … Verhaltenskodex erarbeitet werden. Inwieweit können Hedge-Fonds zur Instabilität der Finanzmärkte beitragen? Welche Strategien zur …

Persistent link: https://www.econbiz.de/10010303504

Credit risk transfer, hedge funds, and the supply of liquidity

Zimmermann, Heinz - 2007

This paper provides a discussion about some recent issues related to the transfer of credit risk (CRT) from the perspective of global liquidity. The CRT market is enormously growing and exhibits major structural shifts in terms of buyers and sellers of protection. I try to address these issues...

Persistent link: https://www.econbiz.de/10011390628

Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien

Lehrbass, Frank; Wörndl, Fabian; FOM Hochschule für … - 2021

: Die Hedgefonds. Deshalb wird sich diese Forschungsarbeit dieser exklusiven Form von Kapitalanlagemöglichkeiten zuwenden …. Bei einer Investition in Hedgefonds hofft man darauf, dass sie Erträge entsprechend den Erwartungen generieren und dabei … den Markt schlagen. Noch konkreter erwartet man, dass Hedgefonds Alpha generieren und ein kaum spürbares Beta haben …

Persistent link: https://www.econbiz.de/10012819803

Target Price Accuracy

Kerl, Alexander G. - In: BuR - Business Research 4 (2011) 1, pp. 74-96

This study analyzes the accuracy of forecasted target prices within analysts' reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown) 12-month stock price. Furthermore, we determine factors that explain...

Persistent link: https://www.econbiz.de/10010421358

Lessons from a small country in a financial crisis or Dr. Minsky and Mr. Ponzi in Iceland

Magnusson, Gylfi - 2010

Persistent link: https://www.econbiz.de/10014306488

On commitment levels and compliance mechanisms: Determinants of participation in global environmental agreements

Bernauer, Thomas; Kalbhenn, Anna; Koubi, Vally; Ruoff, Gabi - 2010

We argue that participation in international agreements is influenced by their design characteristics, notably commitment levels, measured by the specificity of obligations, and compliance mechanisms, measured by monitoring, enforcement, assistance, and dispute settlement provisions in treaties....

Persistent link: https://www.econbiz.de/10010302727

Schlüssel zur Weltklasseproduktion

Lehner, Franz (contributor); Wickens, Peter (contributor) - 1997

Persistent link: https://www.econbiz.de/10011318646

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