Showing 1 - 10 of 57
Using an international database featuring 1,625 mutual funds over 15 years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the...
Persistent link: https://www.econbiz.de/10013081390
We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential...
Persistent link: https://www.econbiz.de/10012971647
This paper performs a census of the 101 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures...
Persistent link: https://www.econbiz.de/10012712505
Persistent link: https://www.econbiz.de/10001673560
This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...
Persistent link: https://www.econbiz.de/10013137098
This study investigates the relationship between the evolution of real options values and associated financing policies for Belgian companies in the sector of bio-industries. Each firm's situation regarding the relevant types of real options is stylistically represented through a scenario tree....
Persistent link: https://www.econbiz.de/10013069157
Ultimate Beneficial Owners (UBOs) are defined by complex legal rules that differ across countries. Identifying UBOs is increasingly costly and time consuming. Gathering more data and refining already complex domestic legal arsenals is not the solution. We therefore propose a risk-based approach...
Persistent link: https://www.econbiz.de/10013324380
This study investigates the relationship between the evolution of real options values and associated financing policies for Belgian companies in the sector of bio-industries. Each firm's situation regarding the relevant types of real options is stylistically represented through a scenario tree....
Persistent link: https://www.econbiz.de/10011623436
The paper proposes an innovative framework for characterizing investors' behavior in portfolio selection. The approach is based on the realistic perspective of unknown investors' utility and incomplete information on returns distribution. Using a four-moment generalization of the Chebyshev...
Persistent link: https://www.econbiz.de/10011586129
The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...
Persistent link: https://www.econbiz.de/10013107364