The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return components may exhibit dynamic Markov switching behaviour....

This paper develops a unified approach to comprehensively analyse individual hedge fund return predictability, both in- and out-of-sample. In-sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability...

While the majority of the predictability literature has been devoted to the predictability of traditional asset classes, the literature on the predictability of hedge fund returns is quite scanty. We focus on assessing the out-of-sample predictability of hedge fund strategies by employing an...

This paper develops a unified approach to comprehensively analyze individual hedge fund return predictability, both in- and out-of-sample. In-sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability...

This study questions whether the Feri Trust Rating, the Euro Fondsnote and the Finanztest-Bewertung are able to predict the future performance of German equity mutual funds. These three fund valuations are used to check whether ratings have a higher predictability than rankings using historical...

This paper examines whether and how coverage from a unique crowdsourced financial estimates platform, Estimize, affects firms. Employing a difference-in-difference design comparing firms that gain coverage from Estimize with firms that do not, I find that covered firms experience decreased...

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

We evaluate the influence of measurement error in analysts' forecasts on the accuracy of implied cost of capital estimates from various implementations of the ‘implied cost of capital' approach, and develop corrections for the measurement error. We document predictable error in the implied...

Crowdsourcing — when a task normally performed by employees is outsourced to a large network of people via an open call — is making inroads into the investment research industry. We shed light on this new phenomenon by examining the value of crowdsourced earnings forecasts. Our sample...

We examine the spillover effects of the Global Analyst Research Settlement (or Global Settlement) on analysts' earnings forecasts in 40 developed and emerging markets. Prior to the Global Settlement, analysts generally made overly optimistic forecasts, this bias tending to be higher in countries...