This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture capitalists. In...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We revisit the traditional return-based style analysis in the presence of time-varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their...

In spring 2000, three events-two political statements by Bill Clinton and Tony Blair and a breakthrough announcement by Celera Genomics-had a major impact on biotechnology stocks. We analyze their effects over a comprehensive set of biopharmaceutical companies, using a composite...

Using a unique database of 990 VC-backed Belgian firms, we study whether compatibility between corporate and environmental characteristics matters. We address two questions: (i) Does the interplay of company, industry, and product factors affect the expected returns of the VC-backed firms? (ii)...

Using an international database featuring 1624 mutual funds over 15years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the...

Le " must " des ouvrages de finance d'entreprise enfin disponible en français !Edité pour la première fois en langue française, Finance Corporate couvre le cours de gestion financière enseigné dans les écoles de commerce et universités. Ce classique des ouvrages de gestion financière,...

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on the bond market of the companies having suffered those losses as a pure reputational impact...

We re‐examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well as a category‐specific model introducing asset‐, option‐, and moments‐based...

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs...