Abstract In many textbooks, an important assumption difference between the standard picture for block pricing and the intuitive discussions on this pricing scheme is often ignored. This practice leads the students to misunderstand this picture as an illustration for price discrimination against...

In this paper, we estimate several augmented [Treynor and Mazuy1966] models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...

In this paper, we examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Based on the comparison of the empirical distributions of the holding period returns of hedge funds, a U.S. stock index and a U.S. bond index, we classify hedge funds...

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...