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Diversification in the hedge fund industry

Shawky, Hany A.; Dai, Na; Cumming, Douglas - In: Journal of Corporate Finance 18 (2012) 1, pp. 166-178

We provide evidence of a significant relation between diversification and performance in the hedge fund industry … performance and diversification across sectors and asset classes. We show that on a risk adjusted basis, hedge funds that … significant positive relation between performance and diversification across sectors. However, diversifying across asset classes …

Persistent link: https://www.econbiz.de/10010574250

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Stein, Michael; Piazolo, Daniel; Stoyanov, Stoyan V. - 2013

This study focuses on global real estate return distributions. For our analysis, we employ the class of stable distributions that has become prominent in the real estate literature. We add to the literature by undertaking a global-scale analysis for the first time. By using data since the early...

Persistent link: https://www.econbiz.de/10010328007

Compressing over-the-counter markets

D'Errico, Marco; Roukny, Tarik - 2017

In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross...

Persistent link: https://www.econbiz.de/10011984827

Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne C.; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855710

The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks 10 (2022) 3, pp. 1-11

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and...

Persistent link: https://www.econbiz.de/10013200947

Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"

Jondeau, Eric - In: Aussenwirtschaft 67 (2016) 2, pp. 49-50

Persistent link: https://www.econbiz.de/10012435216

Risk premia on Swiss government bonds and sectoral stock indexes during international crises

Nitschka, Thomas - In: Aussenwirtschaft 67 (2016) 2, pp. 51-67

This paper assesses the sensitivity of excess returns on Swiss government bond and sectoral stock indexes to risk factors during international crisis and non-crisis periods over the sample period from January 1995 to December 2014. The empirical results show that assets that were closely linked...

Persistent link: https://www.econbiz.de/10012435217

Tail parameters of stable distributions using one million observations of real estate returns from fice continents

Stein, Michael; Piazolo, Daniel; Stoyanov, Stoyan V. - 2013

Diese Studie widmet sich den Verteilungen von Immobilienrenditen. Wir verwenden die Klasse der Pareto-stabilen Verteilungen welche sich im Bereich der Analyse von Immobilienrenditen etabliert haben. Wir tragen zur Forschung in diesem Bereich bei, indem wir die erste umfassende globale Analyse...

Persistent link: https://www.econbiz.de/10010228013