Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of...

Hedge funds often hold illiquid assets whose true value is slowly reflected in reported returns. As a result, reported returns of a hedge fund can become a smoothed version of its true realized returns and, thus, can bias the evaluation of hedge fund performance. To address this problem, we...

We document a strong low-price effect for Chinese initial public offerings (IPOs). Namely, IPOs with low offer prices have higher initial returns, followed by even stronger after-market performance. This low-price effect cannot be fully explained by risks and IPO undervaluation. A long-only...