Narrow search
Showing 1 - 10 of 39,132
Cover Image
Financial Sector Tail Risk and Real Economic Activity : Evidence from the Option Market
Neumann, Michael - 2014
This paper documents that option-implied tail risk in the U.S. financial sector predicts real economic activity. The predictability is found to be incremental to the information content in a stock price-based measure of financial sector tail risk. This finding holds both in- and out-of-sample...
Persistent link: https://www.econbiz.de/10013046378
Cover Image
Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions
Marks, Colin P. - 2022
Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its …
Persistent link: https://www.econbiz.de/10013295797
Cover Image
The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed … only paid via management fees, the manager optimally chooses time-invariant leverage to balance the size of allocation to … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking …
Persistent link: https://www.econbiz.de/10013130583
Cover Image
Aggregate Hedge Funds Flows and Returns
Beltratti, Andrea - 2013
In the paper a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved...
Persistent link: https://www.econbiz.de/10013095965
Cover Image
Do Prime Brokers Induce Similarities in Hedge Funds Performance?
Gerasimova, Nataliya - 2018
Early studies show that hedge fund performance is correlated across funds. I empirically document that similarities in hedge fund returns are associated with the presence of the same prime broker. Using data on prime brokerage relationships from 2000 to 2012, I estimate that dealing with the...
Persistent link: https://www.econbiz.de/10012937484
Cover Image
The Conundrum of Hedge Fund Definition
Nabilou, Hossein - 2017
This Article attempts to define hedge funds and to distinguish them from a variety of similar investment funds. After reviewing the hedge fund definition in the U.S. and the EU, this Article argues that the current regulatory framework, which defines hedge funds by reference to what they are not...
Persistent link: https://www.econbiz.de/10012968010
Cover Image
Mutual Fund Performance When Parent Firms Simultaneously Manage Hedge Funds
Cici, Gjergji - 2010
evidence does not allow us to rule out the possibility that management firms maximized fee income by strategically transferring …
Persistent link: https://www.econbiz.de/10013149684
Cover Image
Limits to Arbitrage : Time-Varying Market Neutrality of Hedge Funds
Siegmann, Arjen - 2013
Little is known about the exact sources and risks of hedge fund's market neutral strategies. Based on existing views on arbitrage trading, such as done by hedge funds, we formulate and test a hypothesis that market neutrality is affected by market-wide liquidity. We find that such is the case...
Persistent link: https://www.econbiz.de/10013095650
Cover Image
Uncovering hedge fund skill from the portfolio holdings they hide
Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong - 2010
This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F. Our evidence supports hiding private information as the dominant motive for...
Persistent link: https://www.econbiz.de/10008666523
Cover Image
Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011308590