Showing 61 - 70 of 1,271
Foreign investment management firms have recently started to play a major role in the investment trust business in Japan. In terms of assets under management, their size and market share have almost doubled in the past several years. In part, the relative success of foreign managed firms in...
Persistent link: https://www.econbiz.de/10012768432
Foreign investment management firms have recently started to play a major role in the investment trust business in Japan. In terms of assets under management, their size and market share have almost doubled in the past two years. In part, the relative success of foreign managed firms in...
Persistent link: https://www.econbiz.de/10012768437
Investors in hedge funds and commodity trading advisors [CTA s] are naturally concerned with risk as well as return. In this paper, we investigate risk of hedge funds and CTA s in light of managerial career concerns. We find an association between past performance and risk levels consistent with...
Persistent link: https://www.econbiz.de/10012768447
Investors in hedge funds and commodity trading advisors [CTA] are naturally concerned with risk as well as return. In this paper, we investigate whether hedge fund and CTA return variance depends upon whether the manager is doing well or poorly. Our results are consistent with the Brown, Harlow...
Persistent link: https://www.econbiz.de/10012768581
Empirical analysis of rates of return in Finance implicitly condition on the security surviving into the sample. We investigate the implications of such conditioning on the time series of rates of return. In general this conditioning induces a spurious relationship between observed return and...
Persistent link: https://www.econbiz.de/10012768590
We propose a new empirical approach to determination of mutual fund styles. This approach is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles. We find that the largest equity fund category, acirc;not;SGrowthacirc;not;?...
Persistent link: https://www.econbiz.de/10012768592
We examine the performance of the offshore hedge fund industry over the period 1989 through 1995 using a database that includes defunct as well as currently operating funds. The industry is characterized by high attrition rates of funds and little evidence of differential manager skill. We...
Persistent link: https://www.econbiz.de/10012768770
We test the hypothesis that hedge funds were responsible for the crash in the Asian currencies in late 1997. To do so, we develop estimates of the changing positions of the largest ten currency funds in one currency, the Malaysian ringgit and to a basket of Asian currencies. Our methodology is...
Persistent link: https://www.econbiz.de/10012768841
Alfred Cowles' (1934) test of the Dow Theory apparently provided strong evidence against the ability of Wall Street's most famous chartist to forecast the stock market. In this paper we review Cowles' evidence and find that it supports the contrary conclusion - that the Dow Theory, as applied by...
Persistent link: https://www.econbiz.de/10012768842
We examine the performance of the off-shore hedge fund industry over the period 1989-1995 using a database that includes both defunct and currently operating funds. The industry is characterized by high attrition rates of funds, low covariance with the U.S. stock market, evidence consistent with...
Persistent link: https://www.econbiz.de/10012768843