Using a value at risk methodology, VaR, we demonstrate the extent to which the mean-variance approach underestimates the tail risk of the probability distribution. We compare the long and short - run performance returns after fees deduction with the expected losses that are recorded at...

This article aims at testing empirically the major building blocks that affect the performance of different categories of hedge funds such as incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. We did not find performance persistence in the...

From the standpoint of both the academic researcher and the investment practitioner, it is crucial to be able to identify which factors best capture stock return variation and specifically the discount variation. As a result, there has been a proliferation of research that attempts to identify...

In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen...

In this article, we have tested the volatility of the returns of the spot exchange rate of GBP/USD for changing conditional variances. Generalized autoregressive conditional heteroskedastic models, GARCH, threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), and...

In this article, we are investigating the effects of the macroeconomic variables. We have applied a Quantile regression, (including LAD), in EViews 6 to test the quantile of the natural logarithmic returns of the seasonally adjusted money supply, (M2) on the natural logarithmic returns of the...

In this article, we have tested the correlation and covariance relationships that the natural logarithmic yearly returns of the macroeconomic variables in terms of personal consumption expenditures, gross private domestic investment, net export of goods and services and government consumption...

In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...

Investment trusts or closed-end funds are known for the discount problem that arises within a few months. Specifically, According to Weiss (1989), shares in US funds are issued at a premium to net asset value, NAV, of up to 10 per cent. This premium represents the underwriting fees and start-up...

The multiplier effect of rise in incomes and employment is in equilibrium in a free market economy when total injections, (J), equal total withdrawals, (W). When injections do not equal withdrawals, then, there is disequilibrium in the economy. Withdrawals consist of net saving, net taxes and...