FX hedge funds have experienced very weak returns and high fund failure rates, as currency predictability decays. The managers of these funds face strong incentives to concentrate on new asset classes, creating a natural experiment to test whether observed manager skill is FX specific, or...

We show that earning non-hedge fund income is associated with lower future hedge fund performance. Specifically, generating non-hedge fund income reflects weakened alignment between the incentives of hedge fund management firm owners and the interests of investors. Using a hand-collected...

Using an entirely new dataset of audited filings from firms that manage hedge funds, this study examines whether the hedge fund compensation contract aligns managerial incentives and investor interests. Our novel dataset allows us to distinguish between firms focused exclusively on hedge fund...

The attention-grabbing hypothesis has been offered as a behavioural explanation for post-event abnormal returns for FDA drug approval announcements for NYSE listed firms. We show that when event-day mis-specification is accounted for the market reaction is centred on the event-day and that the...

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...

Predictability of currency returns, based on Carry, Momentum and Value, is widely accepted in the literature. This paper shows that out-of-sample replication of the predictors, following publication of preeminent academic studies of their risk, reveals returns have disappeared. From an...