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Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize developments in the money management literature that do apply this concept correctly. We demonstrate that the rational expectations...
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There is overwhelming empirical evidence on the existence of country and industry momentum effects. This line of research suggests that investors who buy country and industry portfolios with relatively high past returns and sell countries and industries with relatively low past returns will earn...
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A lack of commonly accepted benchmarks for hedge fund performance has permitted hedge fund managers to attribute to skill returns that may actually accrue from market risk factors and illiquidity. Recent innovations in hedge fund replication permits us to estimate the extent of this...
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