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The dark and the bright side of liquidity risks : evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10003882920
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Do Arbitrageurs Really Avoid High Idiosyncratic Risk Stocks?
Ben-David, Itzhak - 2011
It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid holding these stocks due to diversification concerns, allowing deviations of prices from fundamental values. In this paper we test this proposition using hedge fund holding data....
Persistent link: https://www.econbiz.de/10013133780
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10013155700
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The Treasury Bill Risk Premium : Why T-Bills Are About as Risky as Stocks in the Long Term
White, James - 2020
These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...
Persistent link: https://www.econbiz.de/10012834170
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2016
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10012989255
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Hedge Fund Risk and Drawdowns
Sullivan, Rodney N - 2021
In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...
Persistent link: https://www.econbiz.de/10013241510
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2010
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is omparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10013146662
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The performance of US equity mutual funds
Babalos, Vassilios; Mamatzakis, Emmanuel C.; Matousek, Roman - In: Journal of Banking & Finance 52 (2015) C, pp. 217-229
The paper examines the performance of US no-load equity mutual funds. Fund performance is derived using stochastic … causality is also observed. Finally, we extend our analysis to investigate the relationship between funds performance and key …
Persistent link: https://www.econbiz.de/10011209870
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Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates
Schmidhammer, Christoph - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 421-443
Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of … increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show … level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in …
Persistent link: https://www.econbiz.de/10014524424
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Risk-adjusted performance of new economy indices and thematic sectors
Grau-Vera, David; Rubio, Gonzalo - In: Research in international business and finance 71 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015061765