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"Alpha" has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance … theory is the risk-return relation, and traditionally alpha is taken to represent the degree of "mispricing" in asset returns …. But, such an interpretation is not always appropriate – seemingly paradoxically, for certain specific setups alpha …
Persistent link: https://www.econbiz.de/10015196204
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept … characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice … management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund …
Persistent link: https://www.econbiz.de/10014577303
factor investing on beyond-market-risk factors, Fake Alpha strategies based on factor investing look like skill from the …
Persistent link: https://www.econbiz.de/10011663442
predicts stock returns and it subsumes the effect of frictions on expected returns as expected theoretically. The sizable alpha …
Persistent link: https://www.econbiz.de/10012144216
entrenchment motives. Design/methodology/approach: We calculate the average monthly risk-adjusted return (alpha) of each portfolio … the largest employee ownership earns 1.32% of alpha per month. Further, we provide evidence that portfolios with higher …
Persistent link: https://www.econbiz.de/10013185590
Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing … or trading frequently can significantly enhance performance ratios. This paper derives the performance …-maximizing strategy - a variant of buy-write - and the least upper bound on such performance enhancement, thereby showing that if common …
Persistent link: https://www.econbiz.de/10010287049
management service they receive and the financial performance of commercial real estate. Design/methodology/approach The study … satisfaction at each property to assess whether superior property management generates outperformance (“positive alpha”). The study … permitted access to the financial performance results. This meant that the properties belong to only three landlords, all UK …
Persistent link: https://www.econbiz.de/10014899042
wishes to maximise quadratic utility defined in terms of alpha and tracking errors. The results derived allow some exact and …
Persistent link: https://www.econbiz.de/10005509608
Persistent link: https://www.econbiz.de/10005381799
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread …
Persistent link: https://www.econbiz.de/10005450948