commonality in dealers’ activity is a powerful driver of CDS comovements, over and above fundamental similarities between … countries, including default, liquidity, and macro factors. We posit that the mechanism causing the excess correlation is the …

. In both portfolios each stock is given an equal weight of 25 percent. The returns for each stock are computed over a six …-month holding period, and the portfolio returns are simply a weighted average of the individual security returns. This paper … contests). Furthermore, the returns for the expert portfolios have outpaced those of the Dow Jones Industrial Average (DJIA) on …

The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting … biased and inefficient predictor ofrealized volatility, with bias most prominent in live cattle. While significant returns ….However, the returns from selling live cattle puts are persistent, and evidence from straddlereturns identifies that the market …

determine investment returns. Studies have shown that team managed mutual funds exhibit similar risk adjusted performance to … fees affect overall returns to the investor. Using the 2010 Center for Research in Security Prices (CRSP) database, this … basis of fees and overall returns. This study finds empirical evidence that team management has a significant negative …

costs. Finally, we find that SPDRs and Mi dCap SPDRs returns are not excessively volatile, also unlike closed-end funds. …

linear alternatives. I apply these tests to a database of monthly returns on 1,071 hedge funds. I fi nd that non …

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …

, repeated games, and correlation. …