This paper examines the risk profile of a selection of Australian Superannuation Funds over the period 1994 - 2004. In the context of rising domestic and international equity investments, coupled with an apparent lack of members effecting investment choice when available, the potential for an...

The paper deepens in the analysis of the so called «Persistence phenomenon» related to the performance of funds. In previous studies, we found that some performance measures (both classical -Sharpe, Treynor, - - and new ones -Penalized Internal Rate of Return, Information Ratio-) calculated on...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...

This paper proposes a methodological improvement to empirical studies of herd behavior based on investor transactions. By developing a simple model of trading behavior, we show that the traditionally used herding measure produces biased results. As this bias depends on characteristics of the...

We examine the performance-flow relationship(PFR) in Chinese open-end fund market and find that PFR is negative and concave. The shape of PFR indicates that investors¡¯ choice does not pose an incentive mechanism on fund managers: The better an open-end fund performs, the higher the net...

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The...

The distress risk explanation of the size effect implies that payment for distress risk ought to occur in up market periods, not in down market periods where distress risk ought to depress the price of securities with such risk. We find that, given the influence of the market beta, the...

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...

China's pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...