Cette étude a pour objectif d'analyser en profondeur la corrélation qui existe entre les stratégies d'investissement alternatives communément appelées hedge funds et les produits d'investissement classiques. Nous procédons à une analyse en regroupant les fonds par stratégie...

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

We compare institutional execution costs across the major U.S. exchanges using a sample of institutional equity orders in firms that switch exchanges. Execution costs including commissions are essentially indistinguishable across these exchanges. We also find the fraction of trading volume from...

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market...

This study contributes to the literature by examining the relation among fund performance, performance persistence and individual fund manager sentiment, rather than the fund industry sentitment. This study employs the turnover rate as the proxy of individual fund manager sentiment. Using the...

This study contributes to the literature by examining the relation among fund performance, performance persistence and individual fund manager sentiment, rather than the fund industry sentitment. This study employs the turnover rate as the proxy of individual fund manager sentiment. Using the...