In this paper, we consider optimal pairs trading strategies in terms of static optimality and dynamic optimality under mean-variance (MV) criterion. The spread of the entity pairs is assumed to be mean-reverting and follows an Ornstein-Uhlenbeck (OU) process. A constrained optimal control...

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...

In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...

In this study, an attempt has been made to find out why investors still prefer broker-sold fund over direct-sold fund despite the superior performance of the latter. We find the sensitivity of funds flow in selected direct-sold funds and broker-sold funds in India. We do not find any evidence...

The change in the business model of venture capitalists from investing locally towards investing across borders started to intensify in the late 1990s. According to a dataset of European and North-American countries, we find that countries with higher expected growth and higher lagged stock...

This paper analyzes a comprehensive data set of 160 non venture-backed, 79 venture-backed and 61 bridge financed companies going public at Germany´s Neuer Markt between March 1997 and March 2002. I examine whether these three types of issues differ with regard to issuer characteristics, balance...

This paper analyses the Business Angel (BA) portfolio of the European Angels Fund (EAF), an initiative of the European Investment Fund, which engages in co-investment relationships with experienced business angels across Europe. It uses EIF’s proprietary database to shed light on a specific...

Managing risk is one of the main activities of venture capital companies. Despite the fact that this topic is of high practical relevance, only little research was published on risk management performed by venture capital companies in their ventures. Hence, we conducted a structured literature...

Employing the art-collection records of Burton and Emily Hall Tremaine, we consider whether early-stage art investors can be understood as venture capitalists. Because the Tremaines bought artists' work very close to an artwork's creation, with 69% of works in our study purchased within one year...