Naked credit default swap (CDS) positions and so called capital structure arbitragers are a controversial topic in modern finance. In a naked CDS position a party pays an income stream to a seller of protection to swap away default risk on an underlying bond without actually holding the...

The present study tests the effect of overconfidence sentiment on the evolution of the trade volume. The results seem to confirm the overconfidence assumption. The historical series of success incite Tunisian investors to act in an aggressive way to increase their trade volume. They...

Gold, in all its forms, is certainly one of the most attractive assets in its last ten years: 266.8% for physical gold and 348.6% for gold mining shares while MSCI World posted -11.7% (from December 31, 2000 to December 31, 201'8 EUR hedged). We propose a general analysis to include this asset...

This study investigates if changes in risk-neutral systematic volatility, skewness, and kurtosis, are priced, either symmetrically or asymmetrically, as systematic risk factors in the cross-section of stock returns. The moments are constructed using options on the S&P 500, and represent...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Does the selection of a specific interest rate model to use for pricing, hedging, and risk-return analysis depend upon whether the user is a buy-side institution or a sell-side dealer bank? Sanjay Nawalkha and Riccardo Rebonato debate this question in this paper and provide some insightful...

In this paper we study statistical properties of equal-weighted indices of hedge funds. We find that aside from diversification benefits, 1/N naïve equal-weighting possesses some additional attractive relative performance properties. We show that subject to certain assumptions, such an index...

In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...

While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity...

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean–variance and non-mean–variance spanning tests. Then, we form...