In this research note, we explain how to correctly calculate contributions to ex post returns and ex post volatility and tracking error. The calculations are performed on a realistic portfolio, i.e. a portfolio in which the asset weights change over time due to active management and passive...

Covered bonds are a promising alternative for prime mortgage securitization. In this paper, we explore risk premia in the covered bond market and particularly investigate whether and how credit risk is priced. In extant literature, yield spreads between high-quality covered bonds and government...

The anomalies literature in capital markets research in finance and accounting is based (almost) exclusively on average realized returns. In contrast, we construct accounting-based expected returns for dollar neutral long-short trading strategies formed on a wide array of anomaly variables,...

We examine market participants' use of hedge funds' 13F filings. We detect abnormal trading volume and positive returns immediately after disclosure, likely due to copycat investors. However, we find no evidence that long-term investors benefit from 13F based trading. We also find abnormal...

The Carhart four-factor model is the most widely used risk-adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...

This paper highlights the present writer's latest research achievements associated with the stock price behavior along with the investor behavior. On the basis of these achievements, the paper carries out an extensive analysis of the 4 critical issues associated with Portfolio Theory, viz. how...

Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on publicly available data remains so far elusive. We address this gap by showing that aggressive bidding at central bank auctions reveals funding liquidity risk. We can extract an...

We study the relationship between compensation and risk-taking among finance firms using a neglected insight from principal-agent contracting with hidden action and risk-averse agents. If the sensitivity of pay to stock price or slope does not vary with stock price volatility, then total...

This paper assesses the level of sophistication evident in investment choices of a large sample of individuals drawn from three Australian retirement savings funds. Available US and UK evidence is somewhat mixed on both the measures that should be used when measuring the sophistication as well...

This paper aims at investigating issues of asset allocation and equity trading risk in the Gulf Cooperation Council (GCC) stock markets. The intent of this work is to bridge the gap in current asset market liquidity risk management methodologies and to assist GCC financial institutions in...