Discount persistence explanation from a behavioural point of view is a new area of research for both academics and practitioners. There have been different attempts to explain the discount deviation by using the limits of arbitrage theory, and psychological theory in terms of conservatism and...

Discount persistence explanation from a behavioural point of view is a new area of research for both academics and practitioners. The interactions of both arbitrageurs and noise traders during the life of the fund will enable us to detect the effect of discount persistence based on an investor...

CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. The portfolio is leveraged and the risk is quite high. Forward and futures contracts have similarities in terms that they...

In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...

In this article, we have compared the census X12 and Tramo / Seats additive ARIMA(p,d,q) seasonal adjustment models applied to distressed securities and long/short equity hedge funds categories. We have applied two methodologies. The first one is developed by the US Bureau of the Census X12...

This article examines the application of the Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market neutral funds, event – driven hedge funds and their related indices. The Sharpe ratio is calculated as the ratio of the excess return divided by the...

In this article, we are going to analyze the redistribution of incomes from the derivative market to the poors. The purpose is to create money funds that help the poors, the beggars and any persons that are financially in a minority group. The various problems of Africa would be addressed within...

The demand for new insurance products in the UK has experienced important changes in recent years that can be attributed to three major factors. First, demographic changes have created different needs for more tailored products. Second, saving patterns have changed, due to changing economic...

This article aims at testing empirically the major building blocks that affect the performance and risk adjusted measures of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in...

In this article, we have tested the correlation and covariance relationships of the natural logarithmic monthly returns of the hedge funds. We have applied a principal component analysis, (PCA), in EViews 6 to check the eigenvalues, the eigenvectors loadings of the correlation matrix and the...