This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First, we discuss evaluation in this setting, and relate it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of...

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct...

This paper studies the governance of defined-benefit pension plans in the United Kingdom. We construct a governance measure, equal to the proportion of trustees of the pension plan who are also executive directors of the sponsoring company. Our findings indicate that pension plans of indebted...

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...

This Paper argues that shareholder activism can be considered as similar to the adoption of increasing returns-to-scale technology by financial institutions. I start from this mechanism to build a model designed to assess the long-run consequences of shareholder pressure. I then use this model...

We explore intergenerational and international risk sharing in a general equilibrium multiple-country model with two-tier pensions systems. The exact design of the funded tier is key for the way in which risks are shared over the various generations. The laissez-faire market solution fails to...

The purpose of this paper is to analyze what factors are driving the retirement savings of European individuals and whether there are marked differences in retirement preparation among a sample of European countries. Our evidence is based on a sample of 6,036 individuals from eight European...

The present article aims to measure and analyze the systematic risk undertaken by the Greek bond mutual funds. The capital asset pricing model is applied using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, and a specific Bond Index. The performance...

Starting from the need to optimize the financial structure of the enterprise, the article aims to review a few concepts related to financial structure and bankruptcy risk, the presentation of the bankruptcy risk analysis based on assets balance sheet, liquidity ratios and last, but not least,...

The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008. I found that skewness and kurtosis are...