Japanese equity value investing used to be known for its stable investment return that was rarely observed elsewhere in the world. However, similarly to the global decline in value investing, Japanese equity value investing, which has also fallen into a difficult situation. This article examines...

Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment. Introduced in the early 1990's, the technology has...

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...

Taking a firm's competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies with market power outperform their peers. Placebo exercises and an exogenous shock to product market competition...

We examine how expertise of institutional investors (aka deft investors), based on the product market similarity of their 13F holdings, is related to asset prices. We find that portfolio similarity of investors is associated with returns both at the extensive and intensive margins. A long-short...

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to...

This study collects and examines a comprehensive sample of written analyst reports for worldwide equity funds. I investigate two features related to the Berk and Green (2004) model: investor sophistication and decreasing returns to scale. First, I find that the tone in analyst reports drives...

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is omparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...