Why has the aggregate level of hedge fund alpha (risk-adjusted return) decreased over the last decade? By studying the distribution of individual hedge fund alphas, we find that the large right tail (the percentage of funds with positive alphas) that was once present has shrunk over time, while...

Diversification benefits of three "hot" asset classes-Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS)- are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents both that the three...

This paper examines the impact of central clearing on the credit default swaps (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower...

Using high-frequency intraday trading and quoting data, we study the temporal effects in index credit default swap (CDS) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U-shaped pattern in the equity market, index CDSs exhibit a...

This paper studies the returns of credit default swap (CDS) indices over the Federal Open Market Committee (FOMC) cycle from 2005 to 2017. We document that the CDS return is significantly higher in even weeks than in odd weeks of the FOMC cycle. This pattern is linked to the resolution of...

This paper investigates whether and how the initiation of Credit Default Swaps (CDS) trading affects analyst optimism. First, we document that analyst forecasts become less optimistic after the initiation of CDS trading. Second, we find that the dampening effect of CDS on analyst optimism is...

In this article, we study two negative events that can happen to newly public stocks: (1) the price drops at least 50% from the closing price on the first trading date within one year after the initial public offering (IPO) (initial failure) and (2) the firm is delisted for negative reasons...

Using hedge funds' holdings of IPO stocks, we find that stocks with abnormally high hedge fund holdings, based on stock and deal characteristics, yield abnormal returns. Moreover, hedge funds are able to sell IPO stocks in a timely fashion before long-run underperforming periods start,...

We examine, for various educational characteristics of hedge fund managers, the performance profile of hedge fund portfolios along their managers' professional experience path. We find that during the initial years following their graduation, hedge fund managers who majored in business or...

This paper examines the role of corporate social performance in the CDS market, with a focus on the differential effect conditional on the lengths of time horizons. We find that strong social performance is negatively associated with the slope of CDS term structure, by reducing the long-term...