This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...

We find that aggregate net equity fund flows are strongly negatively correlated with changes in expected future stock market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale decisions by risk perceptions, we further find that...

The study of international integration of equity markets has received a great deal of interest. This paper investigates whether returns of 41 closed-end country funds share a common volatility process with three comparable return-series: the underlying net asset value (NAV), the U.S., and the...

We investigate both market volatility timing and market liquidity timing for the first time among UK mutual funds. We find strong evidence that a small percentage of funds time market volatility successfully, i.e., when conditional market volatility is higher than normal, systematic risk levels...

Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly...

Exchange Traded Funds (ETFs) have existed since the late 1980s, but were first traded on commodity markets in the early 2000s. Their inception has been linked by some market analysts with the large commodity price increases and volatility evident between 2007 and 2009. This research analyses...

In a standard four factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a “vol” anomaly factor contrasting returns on portfolios of low and high volatility...

Research that has led to what is known as the “low volatility anomaly” in cross-sectional stocks from a similar universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it depends on the definition or measure of risk....

Extending previous work on mutual fund pricing, this paper introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series,...

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the idiosyncratic volatility effect. Average...