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Heterogenität von Hedgefondsindizes
Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - 2006
Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world...
Persistent link: https://www.econbiz.de/10003750292
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Empirische Analyse der Drawdowns von Dach-Hedgefonds
Heidorn, Thomas (contributor); Kaiser, Dieter G. (contributor) - 2009
Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF....
Persistent link: https://www.econbiz.de/10003796083
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … market, hidden liquidity provision gives rise to negative liquidity externalities. -- Hidden Liquidity ; Pretrade …
Persistent link: https://www.econbiz.de/10009506557
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Limited partner performance and the maturing of the private equity industry
Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S. - 2013
We evaluate the performance of limited partners' (LPs) private equity investments over time. Using a sample of 14,380 investments by 1,852 LPs in 1,250 buyout and venture funds started between 1991 and 2006, we find that the superior performance of endowment investors in the 1991-1998 period,...
Persistent link: https://www.econbiz.de/10009724586
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Does sophistication affect long-term return expectations? : evidence from financial advisers' exam scores
Kaustia, Markku; Lehtoranta, Antti; Puttonen, Vesa - 2013
We use unique data fromfinancial advisers' professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we find that more sophisticated financial advisers tend to have lower return...
Persistent link: https://www.econbiz.de/10010226116
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Sovereign credit ratings and the transnationalization of finance : evidence from a gravity model of portfolio investment
Körner, Finn Marten; Trautwein, Hans-Michael - 2014
It is a matter of debate in how far credit ratings contribute to allocative efficiency or to excessive volatility of asset prices and cross-border capital flows. Yet it is generally taken for granted that ratings play a significant role in the transnationalization of financial relations. This...
Persistent link: https://www.econbiz.de/10010376495
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Correlated trades and herd behavior in the stock market
Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - 2012
Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions...
Persistent link: https://www.econbiz.de/10009537329
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Sovereign credit ratings and the transnationalization of finance : evidence from a gravity model of portfolio investment
Körner, Finn Marten; Trautwein, Hans-Michael - 2015
It is a matter of debate in how far credit ratings contribute to allocative efficiency or to excessive volatility of asset prices and cross-border capital flows. Yet it is generally taken for granted that ratings play a significant role in the transnationalization of financial relations. This...
Persistent link: https://www.econbiz.de/10010496949
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Exit of Last Resort? Empirical Evidence on the Returns and Drivers of Secondary Buyouts as Private Equity Exit Channel
Achleitner, Ann‐Kristin - 2012
to be exited via a secondary buyout. Furthermore, the liquidity of debt markets and the amount of undrawn capital …
Persistent link: https://www.econbiz.de/10013106072
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Modeling the Exchange Rate Volatility Using GARCH-Type Models : Evidence from Pakistan
Mughal, Hammad Ul Haq - 2009
The exchange rate plays vital role in the financial market and its importance is increasing in the developing economies. Exchange rate volatility is an important factor to consider in decision making by the investors as the interest of global investment community is increasing in assets market...
Persistent link: https://www.econbiz.de/10013156666