Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

We investigate US hedge funds' performance across different economic and market conditions for the longest period to date, 1990-2014. The paper examines the impact of multiple business cycles and rising/falling markets on exposures and excess returns delivered to investors. We use a twin...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...

We survey articles covering how hedge funds returns are explained, using linear and non-linear multifactor models that examine hedge funds as option portfolios or indices. We provide an integrated view of the implicit factor and the statistical factor models that are largely able to explain...

We explore the value premium in the Chinese stock market and how to exploit it using a new investor sentiment index. We extensively discuss the performance of BM, CFP, EP and SP factors in China. Consistent with the experience of other countries, BM generates more of a value premium in small cap...