We assess investment value of sell-side analyst recommendations from the standpoint of portfolio risk. We match I/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns up to one year following recommendation issue....

This research applies findings from the field of factor investing to address the question of what drives private equity deal returns. I provide empirical evidence that the most comprehensively documented factor anomalies have explanatory power of cross sectional variations in returns of private...

This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient...

We measure the aggregate return to all equity investors in various funding rounds of a venture company with the founders' investments valued at their first-round pre-money valuations. We examine 17,242 ventures that had their first funding rounds during 1980 and 2006 and follow them till their...

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX...

We explain the returns obtained on venture capital (VC) investments in all VC backed companies going public in the U.S. between 2003 and 2017. Using a unique data set of 1,921 investor-IPO returns, we show that later investments obtain higher returns, even after controlling for observed and...

This study finds specification of minimum portfolio returns to be delivered by VCs in contracts that subsist between VCs and their principals is not a necessary condition for incentivization of optimal portfolio performance. Within populations of VCs who are characterized by risk aversion,...

Typically, studies of efforts of economic agents do not distinguish between efforts that directly generate returns (`return effort') and efforts that facilitate demonstration of return effort, that is, `return effort cost'. This study provides formal theoretical evidence that a distinguishing of...

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...