After analyzing portfolio differences between separate account-mutual fund twins, we find that dissimilar “fraternal twins” show significantly lower joint performance than “identical twins.” This finding is consistent with fraternal twins competing for the limited attention of a manager...

Recent equilibrium models predict a negative expected return premium in green stocks due toa non-financial utility for green investors, the so-called Equity Greenium, and in consequencea separation of the capital market. We derive a modified pricing relationship for equity futuresas a first...

This paper evaluates fund managers’ trading skills using a novel dataset of daily mutual fund transactions. We document strong evidence of short term trading performance for both buys and sells lasting up to one month. By establishing a link between a fund’s trades, holdings, and reported...

The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculations which are almost irrelevant for the solution. To avoid this waste of resources, the tree is...

This paper is the first to present a two-stage peer group benchmarking approach to evaluate the performance of hedge funds. We present different ways of orthogonalizing the peer group benchark and discuss their propperties in general. We propose to orthogonalize the benchmark against all other...