This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analysed fund return. Then, we compute...

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 firms, our findings indicate that this dimension significantly influences corporate risk...

We examine the ability of the factor model approach to evaluate the performance and persistence of hedge fund returns. In our analysis we incorporate traditional asset based factors as well as an array of new and previously studied option based factors. We provide evidence that there is still...

Empirical research on the performance of managed portfolios with multi-index models has only been using the alpha as performance metric. This paper assesses the ranking abilities of the alpha, the Information Ratio and the Generalized Treynor Ratio proposed by Huuml;bner (2005) on a sample of...

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) put forward by the Basel II Accord for the assessment of operational risk. We develop an integrated procedure for the construction of the distribution of aggregate losses, using internal and...

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. Our database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high...

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high...

This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio. The Generalized Treynor Ratio is defined as the...

Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart's (1997) specification combined with the Fama and French (1998) and Agarwal and...

The paper extends the mental accounting framework in behavioral finance with investors' time horizon and with asymmetric consideration between extreme gains and losses. This generalized Horizon-Asymmetry Mental Accounting framework (HAMA) has important implications for the determination of...