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Hedge fund replication in turbulent markets

Tuchschmid, Nils S.; Wallerstein, Erik; Zaker, Sassan - In: Managerial Finance 38 (2011) 1, pp. 67-81

Purpose – Hedge fund replication gained considerable attention during the period surrounding 2007 when it was anticipated to become for hedge fund investors what index funds are for equity investors. The hedge fund replication concept only lacked a track record. This paper aims to present an...

Persistent link: https://www.econbiz.de/10014940216

A joint survival analysis of hedge funds and funds of funds using copulas

Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial Finance 38 (2011) 1, pp. 82-100

Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...

Persistent link: https://www.econbiz.de/10014940217

Hedge fund return volatility and comovement: recent evidence

Sabbaghi, Omid - In: Managerial Finance 38 (2011) 1, pp. 101-119

Purpose – The purpose of this paper is to investigate the return performance of different investment strategies in the hedge fund sector, with a particular emphasis on the recent US financial crisis of 2007‐2010. Additionally, the paper aims to investigate the comovement of hedge fund index...

Persistent link: https://www.econbiz.de/10014940218

Steel Partners' activism efforts at United Industrial, Ronson, and BKF Capital

Kruse, Timothy A.; Suzuki, Kazunori - In: Managerial Finance 38 (2012) 6, pp. 587-605

Purpose – This paper seeks to analyse Steel Partners' investments and activism targeting United Industrial, Ronson, and BKF Capital to provide context for the debate surrounding shareholder activism by hedge funds and how incumbent management should cope with it. Steel Partners is one of the...

Persistent link: https://www.econbiz.de/10014940242

The FX exposure puzzle: insights from SEC disclosures

Makar, Stephen; Huffman, Stephen - In: Managerial Finance 39 (2013) 4, pp. 342-361

‐specific financial hedging and BRV‐estimated FXE (but not TWI‐estimated FXE), controlling for firm‐specific non …‐financial/operational hedging, size and industry effects. Moreover, firms in the first and fifth quintiles for measures of value/growth and size …

Persistent link: https://www.econbiz.de/10014940290

Determinants of corporate foreign exchange risk hedging

Chong, Lee-Lee; Chang, Xiao-Jun; Tan, Siow-Hooi - In: Managerial Finance 40 (2014) 2, pp. 176-188

hedging decision. Design/methodology/approach – This study is conducted via a survey and the questionnaires were sent to the …. Findings – The results indicate that the hedging decision of non-financial firms is influenced by their assertive level toward … firms acquire to perform hedging strategies is also vital in influencing them to make hedging decision. Practical …

Persistent link: https://www.econbiz.de/10014941198

Corporate hedging, firm focus and firm size: the case of REITs

Wei, Peihwang; Xu, Li; Zeng, Bei - In: Managerial Finance 43 (2017) 3, pp. 313-330

Purpose The purpose of this paper is to investigate the substitutability of corporate hedging and diversification in … firms are more likely to be associated with hedging. The role of firm size is also analyzed. Design/methodology/approach The … logistic regression approach is utilized to analyze the probability of hedging and the panel regression approach is used to …

Persistent link: https://www.econbiz.de/10014941423

The flexibility and benefits of operating a diverse fleet: an analysis using real options

Treanor, Stephen D. - In: Management Research Review 35 (2012) 6, pp. 462-472

Purpose – The purpose of this paper is to develop a simple model illustrating the benefits of operating a diverse fleet of aircraft. Design/methodology/approach – The paper is theoretical. It describes how real options are beneficial to the firm in both capital budgeting and risk management....

Persistent link: https://www.econbiz.de/10014952144

The usage of currency derivatives in multilateral banks

KAMAU, PHILIP; INANGA, ENO L.; RWEGASIRA, KAMI - In: Management Research Review 38 (2015) 5, pp. 482-504

Purpose – The purpose of this paper is to investigate the extent to which multilateral banks (MBs) use currency derivatives (CDs) to hedge and speculate in managing currency risk. It aims to provide an empirical assessment of CDs products used by MBs as a group not studied before....

Persistent link: https://www.econbiz.de/10014952838

Financial risk management and enterprise value creation

Wang, Peng‐fei; Li, Shi; Zhou, Jian - In: Nankai Business Review International 1 (2010) 1, pp. 5-19

Purpose – The purpose of this paper is to explore whether financial risk management (FRM) can improve enterprise value in China's current economic environment. Design/methodology/approach – A theoretical model is constructed which decomposes firms by different combinations expressed by cash...

Persistent link: https://www.econbiz.de/10014954180