Despite the exponential increase in the literature related to the performance of Alternative Investment Funds (AIFs), risk management with respect to the measurement of performance persistence remains largely unexplored. In this paper, we investigate the impact of geolocation and investment...

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Against the backdrop of COVID-19, we study how the interactions of mutual funds and dealers introduce fragility to the municipal bond market and carry lasting impacts. During the crisis, trading activities surge while dealers' liquidity provision plunges for mutual-fund-held bonds, leading to...

We examine the performance of investments made by private credit fund managers into over 440 private companies in 13 Asian countries from 2001 to 2015. We show that the returns to private debt investments are relatively uniform across size, country and industry despite diversity in legal and...

Intermediation in private equity involves illiquid investments, professional investors, and high information asymmetry. We use this unique setting to empirically evaluate theoretical predictions regarding intermediation. Placement agent usage has become nearly ubiquitous, but agents are...

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...

The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...

Exploiting a unique opportunity offered by the Italian private equity (PE) market, we examine the hitherto largely unexplored internal rate of return (IRR) of PE investments. Our database covers the entire universe of transactions sponsored by Italian PE investors in Italy up to 2007 and offers...

Private debt fund managers invest in debt positions of private companies through new issuances or secondary acquisition of loans. We examine which strategy performs best using data from over 400 investments into private companies located in 13 Asian countries between 2001 and 2015. Trading...

In this article, the authors posit a quid pro quo in economic benefits between sell-side equity analysts and large hedge fund managers. They show that large hedge funds opportunistically trade one to four days prior to the publication of a recommendation change, a finding consistent with flow of...