Im Rahmen der Performancemessung werden häufig attraktive Risiko-Rendite-Eigenschaften von Hedgefonds hervorgehoben. Wir zeigen jedoch, dass diese Aussagenauf sehr instabile Schätzungen der Inputparameter aufbauen, denn je nachdem,welcher Zeitraum oder welche Marktphase betrachtet wird,...

Due to their relatively high yields and low return correlations with traditional asset classes, insurance-linked securities (ILS) are often described as an attractive investment opportunity. Yet, the investor base for ILS is largely dominated by a few specialized investment managers. The aim of...

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...