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Returns to Active Management : The Case of Hedge Funds

Kazemi, Maziar - 2018

approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead … equity long-short funds. We find that higher activeness is positively correlated with raw excess returns, but not with risk …-adjusted returns. Furthermore, the relationship between risk-adjusted returns and activeness is likely non-linear and some …

Persistent link: https://www.econbiz.de/10012926426

The Cross-Section Excess Returns : Risk Factors and Investor Sentiment

Mouna, Abdelhedi - 2009

This paper examines competing explanations, based on risk and investor sentiment, for the cross-sectional returns in … the Tunisian stock market. First, we examine the explanatory power of Fama and French (1993); and Carhart (1997) risk …

Persistent link: https://www.econbiz.de/10013156521

Innovative Originality, Profitability, and Stock Returns

Hirshleifer, David A. - 2017

We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...

Persistent link: https://www.econbiz.de/10012955455

The ordering of historical returns and the cross-section of subsequent returns

Mohrschladt, Hannes - In: Journal of banking & finance 125 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012819532

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

Adrian, Tobias - 2017

risk is a nonlinear function of market volatility …

Persistent link: https://www.econbiz.de/10012971196

FX Market Returns and Their Relationship to Investor Fear

Smales, Lee A. - 2016

This note examines the relationship between changes in levels of investor fear (measured by VIX) and FX market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in VIX, while the association is positive...

Persistent link: https://www.econbiz.de/10013001940

Innovative Originality, Profitability, and Stock Returns

Hirshleifer, David A. - 2020

We propose that innovative originality is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, greater innovative originality may be undervalued. We find that firms' innovative originality strongly predicts higher, more persistent, and...

Persistent link: https://www.econbiz.de/10012857235

Measuring Institutional Investors’ Skill from Their Investments in Private Equity

Cavagnaro, Daniel - 2016

Using a large sample of institutional investors' private equity investments in venture and buyout funds, we estimate the extent to which investors' skill affects returns from private equity investments. We first consider whether investors have differential skill by comparing the distribution of...

Persistent link: https://www.econbiz.de/10012984744

Presentation Slides for 'Innovative Originality, Profitability, and Stock Returns'

Hirshleifer, David A. - 2018

These are the slides for the paper “Innovative Originality, Profitability, And Stock Returns.” The abstract of this paper is the following: We propose that innovative originality is a valuable organizational resource and that owing to limited investor attention and skepticism of complexity,...

Persistent link: https://www.econbiz.de/10012917506

Tomorrow's fish and chip paper? : slowly incorporated news and the cross-section of stock returns

Tao, Ran; Brooks, Chris; Bell, Adrian R. - In: The European journal of finance 27 (2021) 8, pp. 774-795

Persistent link: https://www.econbiz.de/10012516133