question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …

We exploit exogenous variation in the amount of public information available to banks about a firm to empirically …) reduced the amount of public information available to Pakistani banks about a firm's creditworthiness. Prior to 2006, the SBP … published credit information not only about the firm in question but also (aggregate) credit information about the firm's group …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel … present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the …

liquidity and specialness, suggesting that dealers respond to both valuation and information uncertainties; (4) Dealers exhibit … forecast bond returns only one day after the auction, suggesting that dealers have price-relevant information but the … information decays quickly. …

correlated with the aggregate hedge-fund wealth volatility after the anomaly is discovered. Our model also sheds light on how to … distinguish between risk- and mispricing-based anomalies. …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …