Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart's (1997) specification combined with the Fama and French (1998) and Agarwal and...

The paper extends the mental accounting framework in behavioral finance with investors' time horizon and with asymmetric consideration between extreme gains and losses. This generalized Horizon-Asymmetry Mental Accounting framework (HAMA) has important implications for the determination of...

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals with 154 events coming from the FIRST database of Opvantage. Events occurred between 1990 and...

This paper reviews the main dimensions underlying the selection of a classical portfolio performance measure, namely the Sharpe Ratio, Jensen's alpha, the Modified Jensen's alpha, the Treynor Ratio, and the Information Ratio. We first examine how they differ from each other according to the risk...

We propose a fundamental methodological change to Fama and French (1993) factor construction procedure. Consistent with Lambert and Hübner (2013) sequential sorting procedure to classify stocks, our methodology controls ex ante for pricing errors produced by multifactor models. Our size and...

We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential...

Fama and French risk premiums do not reliably estimate the magnitude of the size or book-to-market effects, inducing many researchers to inflate the number of factors. We object that controlling ex ante for noise in the estimation procedure enables to keep a parsimonious set of factors. We...

Factor performance is highly sensitive to the number of stocks composing its long and short basis portfolios. We examine three methodological choices that have an impact on portfolio diversification: the (in)dependence and the (a)symmetry of the stock sorting procedure and the sorting...

This paper investigates the differences in the return generating process of venture capital-backed firms and their peers that operate without venture capital financing. Using a unique hand-picked database of 990 venture capital-backed Belgian firms and a complete population of Belgian SMEs, we...

We investigate the implications of venture capital (VC) investor type (government or private) on the operating efficiency of a sample of 515 Belgian portfolio firms up to 3 years after the investment. We find that the government VC-backed firms display significant reductions in productivity. No...