This paper is the first to present a two-stage peer group benchmarking approach to evaluate the performance of hedge funds. We present different ways of orthogonalizing the peer group benchark and discuss their propperties in general. We propose to orthogonalize the benchmark against all other...

Investors wishing to achieve a particular level of diversification may be misled on how many stocks to hold in a portfolio by assessing the portfolio risk at different data frequencies. High frequency intradaily data provide better estimates of volatility, which translate to more accurate...

In this study of five developed markets we analyse the sizes of portfolios required for achieving most diversication benefits. Using daily data, we trace the year-to-year dynamic of these sizes between 1975 and 2011. We compute several widely-accepted measures of risk and use an extreme risk...

In this paper a Developer contracts with a Researcher for the production of a non-drastic innovation. Since effort is non-contractible, the Developer offers an incentive contract dependent on the observed magnitude of the innovation. It is shown that the distribution of intellectual property...

In this paper the author demonstrates that the change in cost of living index (CLI) can be decomposed into the contribution that the price change in each good makes to the CLI. A CLI is constructed based upon a demographically scaled version of the Quadratic Almost Ideal demand system. The...

My topic is the role of property rights in marine capture fisheries, but given the awareness in Tasmania of the importance of aquaculture I will start with some figures on the relative importance of these two sectors of the fishing industry. World annual marine and inland aquaculture production...

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...

We investigate the validity of the standard specification tests for assessing the exogeneity of subvectors in the linear IV regression. Our results show that ignoring the endogeneity of the regressors whose exogeneity is not being tested leads to invalid tests (level is not controlled). When the...

Movement in China’s money supply drives the movement in world money supply over the last twenty years. Within the framework advanced by Kilian (2009) that identifies the supply and demand side factors driving oil price changes we introduce the influence of liquidity in China and other...

We investigate the size of the Durbin-Wu-Hausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap...