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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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The Impact of Hedge Funds on Asset Markets
Kruttli, Mathias S. - 2016
This paper provides evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, based on the cross-sectional average first order autocorrelation coefficient of hedge fund returns, and show that it has strong and...
Persistent link: https://www.econbiz.de/10013007429
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Detecting Repeatable Performance
Harvey, Campbell R. - 2020
. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects …
Persistent link: https://www.econbiz.de/10012855889
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
bring the models and methods together, with a review of the recent conditional performance evaluation literature …
Persistent link: https://www.econbiz.de/10014023859
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Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures?
Jablecki, Juliusz - 2014
We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We...
Persistent link: https://www.econbiz.de/10013046744
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Taking Sides on Return Predictability
McLean, R. David - 2020
We study how 9 different market participants trade with respect to 130 different stock return anomalies and how each participant's trades predict returns. Retail investors trade against anomalies, while firms' and short sellers' trades agree with anomalies. Institutional portfolios are weighted...
Persistent link: https://www.econbiz.de/10012829804
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Separating Portfolio Performance into Opportunity, Foresight, and Active Management Risk
Khang, Kenneth - 2011
We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...
Persistent link: https://www.econbiz.de/10013133301
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A Flow-Based Explanation for Return Predictability
Lou, Dong - 2010
predictability -- the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. Motivated by prior … significant stock return and mutual fund performance predictability. The main findings of the paper are that such flow …-based return predictability can fully account for mutual fund performance persistence and the "smart money" effect, and can …
Persistent link: https://www.econbiz.de/10013150989
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Out-of-Sample Performance of Mutual Fund Predictors
Jones, Christopher S. - 2019
We analyze the out-of-sample performance of variables shown to forecast future mutual fund alphas. The degree of … or learning. Finally, we show that corporate bond fund performance exhibits similar dependence on measures of bond market …
Persistent link: https://www.econbiz.de/10012901822