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The market timing skills of hedge funds during the financial crisis
Cave, Arnaud; Hubner, Georges; Sougne, Danielle - In: Managerial Finance 38 (2012) January, pp. 4-26
Purpose – The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach – The performance of a market timer can be measured through the 1966 Treynor and Mazuy model,...
Persistent link: https://www.econbiz.de/10010814874
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The fund of hedge funds reporting puzzle: Reconciling investors' expectations and fund managers' constraints
Amenc, Noël; Malaise, Philippe; Vaissié, Mathieu - In: Journal of Risk Finance 7 (2006) January, pp. 24-37
Purpose – The development of alternative investment has not yet been accompanied by genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. To fill the gap, in 2004 EDHEC launched an international...
Persistent link: https://www.econbiz.de/10005002452
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Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance
ter Horst, Jenke; Baquero, G.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002
Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...
Persistent link: https://www.econbiz.de/10011092451
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Hedge fund biases after the financial crisis
Kaiser, Dieter; Haberfelner, Florian - In: Managerial Finance 38 (2012) January, pp. 27-43
Purpose – The purpose of this paper is to explore how hedge fund database biases developed during the 2007-2009 financial crisis. Design/methodology/approach – The sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period....
Persistent link: https://www.econbiz.de/10010691536
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Durchbrechungen des Kongruenzprinzips und Residualgewinne Broken Link Between Accounting and Finance?
Krotter, Simon - Wirtschaftswissenschaftliche Fakultät, Universität … - 2006
Ziel des vorliegenden Beitrags ist es, die Auswirkungen von Kongruenzdurchbrechungen auf die Bewertung, Vorteilhaftigkeitsprüfung und Performance-Messung mit buchwertbasierten Residualgewinnen zu bestimmen. Wir wählen dazu folgendes Vorgehen: Kapitel II stellt die Wirkungsweise des...
Persistent link: https://www.econbiz.de/10005063025
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Derivatives usage in risk management by U.S. and German non-financial firms: A comparative survey
Bodnar, Gordon M.; Gebhardt, Günther - Center for Financial Studies - 1998
, firms in the two countries differ notably on issues such as the primary goal of hedging, their choice of instruments, and …
Persistent link: https://www.econbiz.de/10010986461
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Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants
Madlener, Reinhard; Palzer, Andreas; Westner, Günther - Institut für Future Energy Consumer Needs and Behavior … - 2012
In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial …-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strate-gy adopted can have a marked …, portfolio optimization shows that a mix of various hedging strategies can further improve the profita-bility of a heat …
Persistent link: https://www.econbiz.de/10010991185
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Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and Stochastics 17 (2013) 4, pp. 685-716
minimize the risk in a family of hedging strategies for G-variation. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010997066
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Polynomial processes and their applications to mathematical finance
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef - In: Finance and Stochastics 16 (2012) 4, pp. 711-740
to new techniques for option pricing and hedging. For instance, the efficient and easy computation of moments can be used …
Persistent link: https://www.econbiz.de/10010847055
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Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz - In: Mathematical Methods of Operations Research 79 (2014) 2, pp. 239-252
All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The … goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without …
Persistent link: https://www.econbiz.de/10010848600