This paper provides the first systematic analysis of performance patterns for emerging funds and managers in the hedge fund industry. Emerging funds and managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than...

This paper examines the benefits from currency hedging, both for speculative and risk minimization motives, in international bond and equity portfolios. The risk-return performances of globally diversified portfolios are compared with and without forward contracts. Over the period 1974 to 1990,...

This paper attempts to determine whether the fluctuations of conditional first and second moments--which are observed for many assets--are consistent with the Sharpe-Lintner-Mossin capital asset pricing model. The authors test the mean-variance model under several different assumptions about the...

This paper reexamines the evidence on purchasing power parity in the long run. Previous studies have generally been unable to reject the hypothesis that the real exchange rate follows a random walk. If true, this implies that purchasing power parity does not hold. In contrast, this paper casts...

Long-term estimates of expected return on equities are typically derived from U.S. data only. There are reasons to suspect that these estimates are subject to survivorship, as the United States is arguably the most successful capitalist system in the world. We collect a database of capital...