Showing 1 - 10 of 1,324
The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...
Persistent link: https://www.econbiz.de/10011606186
Persistent link: https://www.econbiz.de/10003837187
We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge...
Persistent link: https://www.econbiz.de/10009554212
Using fund-, firm- and bank-level data we investigate the investments of private equity (PE) funds in the north-western regions of Italy. Both the private equity fund managers and the PE investments are heavily concentrated in this most developed area of the country. The average size of the...
Persistent link: https://www.econbiz.de/10011504387
This paper examines institutional investors' propensity to invest in a relatively unknown asset class of listed private equity. Based on data provided by LPEQ, Preqin and Scorpio Partnership covering 171 institutional investors in Europe in 2008-2010, we find allocations are primarily a function...
Persistent link: https://www.econbiz.de/10013135147
This paper extends the standard Merton portfolio choice model to include illiquid private equity funds. This is done in a realistic modeling framework where private equity funds cannot be traded during their entire bounded lifecycle and involve capital commitments and intermediate capital...
Persistent link: https://www.econbiz.de/10013082372
After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...
Persistent link: https://www.econbiz.de/10013088632
This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information with respect to their investment decisions and whether this behavior impacts fund performance. Based on a sample of over 4,300 European mutual funds and around 1.2 million portfolio...
Persistent link: https://www.econbiz.de/10013090451
We investigate the impact of the reputation of a private equity group (PEG) on financing costs in leveraged buyouts (LBOs). PEGs with a strong reputation have superior selection abilities and may be able to obtain cheaper LBO loans due to their role in limiting moral hazard or their impact on...
Persistent link: https://www.econbiz.de/10013091830
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548