Existing research suggests the average private equity* manager does not create excess returns over public markets net of fees. We confirm this result using a factor model that allows for leverage, illiquidity and volatility clustering. The model explains 70 to 90 per cent of the variation in...

In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

The standard continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. We propose a modiÞcation of the above model for handling such cases, by modeling the dependent variable as an unobservable stochastic variable with certain observed outcomes....

This paper examines the martingale behaviour in the Yen Futures return trading at the two exchanges, SIMEX and IMM. The IMM exchange is the larger and more established of the two exchanges. It is, therefore, hypothesised that IMM exhibits a higher rate of information flow than that of SIMEX....

Equity markets do not pass all overnight information into prices instantaneously at the opening of trade. The New York market takes up to 30 minutes after the opening time to absorb overnight foreign news, Tokyo takes about 90 minutes, and London about 120 minutes on average. These delays in...

We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. We also adjust for database biases arising from voluntary self-reporting. Using a constant beta model, we find no evidence of excess returns for the average hedge...