Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market timing. The Treynor and Mazuy (TM) model is the mostly used return-based approach to isolate market timing skills, but all existing corrections of the regression intercept can be...

This paper re-examines the ability of the factor model approach to evaluate the performance of the Equity Hedge, Event Driven, Macro, Relative Value, and Funds of Hedge Funds styles. As Hedge Fund returns are not normally distributed, we assign a premium to higher-order comoments of Hedge Fund...

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...

Using an international database featuring 1,625 mutual funds over 15 years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the...

This paper tackles the issue of expected market return inside an equilibrium risk-return framework that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional distribution can be observed, and the model...

This study investigates the relationship between the evolution of real options values and associated financing policies for Belgian companies in the sector of bio-industries. Each firm's situation regarding the relevant types of real options is stylistically represented through a scenario tree....

The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We do so by replacing F&F's independent rankings by the conditional ones introduced by Lambert...

In this primer, we review the classical methods for assessing the performance of a financial portfolio. The analysis relies on benchmarking the return on the portfolio with that of a peer group. We define and discuss the pros and cons of four performance metrics that are theoretically consistent...

Green (1984) demonstrates in a one-period setting that convertible debt can eliminate the asset substitution problem. However, in a multi-period setting the terms of the convertible issue will in general be set before the specific asset substitution opportunity presents itself. This leaves room...