Indonesia's financial sector is highly dominated by the banking industry than the non-bank. It controlled almost 74% of Indonesia's financial assets in 2014. After post-crisis restructuration, the banking sector has become stronger, with a higher capital adequacy ratio and profitability. While,...

In this study, we use data on intra-day transactions to analyze whether REIT liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry's market capitalization increased from $9 billion to $45 billion. We find that REIT spreads narrowed...

This paper provides the first systematic analysis of performance patterns for emerging hedge funds and managers in the hedge fund industry. Emerging managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than...

Many portfolio strategies are quot;event-driven,quot; i.e., try to benefit from price movements caused by corporate events such as restructurings, bankruptcies, mergers, acquisitions, or other special situations. Such trading strategies involve payoffs that have discontinuous and skewed...

This article presents an investment strategy that combines over-the-counter (OTC) derivatives securities with a partnership exchange fund. The objective of the strategy is to provide investors holding concentrated appreciated stock positions a way to diversify their holdings while minimizing the...

Hedge fund researchers have long known about backfill bias, typically correcting for it by truncating a fixed number of returns from the beginning of each fund's return series. However, we document that this practice decreases the percentage of backfilled returns by only 25%. Thus, empirical...

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship and the liquidity management of funds in the presence of...

The last weeks of 2018 have set new records in net new institutional investment flows into infrastructure funds, with more generalist private equity and investment management players joining this strategic asset class par excellence, as the trend is likely to continue well into 2019 – 2020.The...

The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds’ liquidity transformation and redemption...

I study how mutual funds invest in public family firms where founding family members retain a significant portion of shares. Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in stocks where fund managers have information advantages. I...