Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....

Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....

Especially with the evaluation of non-listed (medium-sized) companies, the following problems and significant restrictions pertaining to the applicability of the CAPM must be taken into account when determining cost of capital. 1. Homogeneity of expectations and planning consistency. Given the...

This paper considers an asset market where investors have private information not only about asset payoffs, but also about their own exposure to an aggregate risk factor. In equilibrium, rational investors disagree about asset payoffs: Those with higher exposure to the risk factor are...

Risk is a big concern for anyone contemplating investing in new, especially innovative ventures. However, if successful, the returns can be extraordinary, serving as an impetus for many venture capitalists to provide greater funding. Still, many new ventures never see the end of the tunnel, and...