We propose a new decomposition of the traditional market beta into four semibetas depending on the signed covariation between the market and individual asset returns. Consistent with the pricing implications from a mean-semivariance framework, we show that higher semibetas defined by negative...

We develop an unobserved components approach to study surveys of forecasts containing multiple forecast horizons. Under the assumption that forecasters optimally update their beliefs about past, current and future state variables as new information arrives, we use our model to extract...

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...

One can consider the concept of market neutrality as having quot;breadthquot; and quot;depthquot;: quot;Breadthquot; reflects the number of market risks to which the hedge fund is neutral, while quot;depthquot; reflects the quot;completenessquot; of the neutrality of the fund to market risks. We...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The first is skewness in the distribution of individual stock returns. The second is an asymmetry in the dependence between stocks: stock returns...

We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns...

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The first is skewness in the distribution of individual stock returns. The second is an asymmetry in the dependence between stocks: stock returns...

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...

Clustering methods such as k-means have found widespread use in a variety of applications. This paper proposes a formal testing procedure to determine whether a null hypothesis of a single cluster, indicating homogeneity of the data, can be rejected in favor of multiple clusters. The test is...