This study investigates whether domestic managers and their foreign counterparts differ in terms of return patterns over time, and where such difference originates. Reasons of financial sophistication of mutual fund markets lead to the assumption that money managers may behave differently from...

type="main" xml:id="obes12052-abs-0001" <title type="main">Abstract</title> <p>In this article, we try to realize the best compromise between in-sample goodness of fit and out-of-sample predictability of sovereign defaults. To do this, we use a new regression-tree based approach that signals impending sovereign debt crises...</p>

Based on a Bayesian time-varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. Using data from CSFB/Tremont indices over the period January...