This article studies the link between the predictability of futures returns and the business cycle. Modelling the relationship between the variation through time in expected futures returns and economic activity should give us some insight as to whether the predictable movements in futures...

In this paper we study the persistence and predictability of several statistical parameters of individual hedge fund returns. We find little evidence of persistence in mean returns but do find strong persistence in hedge funds’ standard deviations and their correlation with the stock market....

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a long-run equilibrium relationship between stock prices and an index price. We compare the theoretical and empirical properties of cointegration optimal equity portfolios with...

We study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results make it clear that in terms of skewness and kurtosis equity and hedge funds do not combine very well. Although the inclusion of hedge funds may significantly improve a...

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. Surprisingly, the study and use of composite hedging has been...

This paper analyses the incentive properties of prospective payment systems for hospital contracts, a key feature in many health systems’ reforms. Building on current literature, the model explicitly allows for the existence of waiting time, modelled as adversely affecting patients’ utility...

The paper seeks to reformulate the ‘colourful and fluid’ early debate on the effects of foreign direct investment (FDI) in two ways. Firstly, the wide range of separate specific concerns of the early debate are subsumed within four generic issues, (i) efficiency, (ii) distribution, (iii)...

The democratic accountability of policymaking institutions which are autonomous within delegated mandates has not received as much attention as their independence. We analyze in a theoretical model the effects of accountability inthe form of possible overriding of economic policy decisions by...