We present hedge fund performance estimates that adjust for stale prices, Fama-French risk factors and Skewness. We contrast these new performance estimates with traditional performance measures. Using three-factor models to adjust for staleness in prices and to incorporate Fama-French factors...

The main focus of this paper is to explore the potential econometric im-provements that can be achieved in estimating hedge fund returns. Specifically, we examine the effects of incorporating the following three adjustments to estimating managerial efficiency; (1) a selection bias adjustment...

Good market timing skills can be an important factor contributing to hedge funds' out-performance. In this paper we use a unique semi-parametric panel data model capable of providing consistent short period estimates of the return correlations with three market factors for a sample of Long/Short...

Several studies have examined whether a portfolio manager having an MBA degree or being a CFA charter holder leads to superior portfolio performance, with generally mixed results. Possible reasons for the mixed findings are that most studies have considered the impact of a manager having either...

Several studies have examined whether a manager having an MBA or CFA leads to superior portfolio performance. However, these studies have yielded mixed conclusions. A possible reason is that most have considered only MBA or CFA alone, and most have not controlled for managers' style targets. We...

We provide evidence for a significant relation between diversification and performance in the hedge fund industry. Measuring diversification across four distinct dimensions, we find a significant positive relation between hedge fund performance and diversification across sectors and asset...

In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue for their introduction to the US market accompanied with the appropriate legislative structure and oversight. The Covered Bond market has the potential of adding significant measure of stability to the...

In this paper, we investigate the impact of using different sell discipline criteria in the management of equity portfolios. We examine the differences among the sell discipline criteria with respect to the portfolio's risk-adjusted returns and downside risk. We use an institutional money...