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Explaining hedge fund investment styles by loss aversion

Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10011326964

Constructing and using double-adjusted alphas to analyze mutual fund performance

Kole, Erik; Brink, Reza - 2019

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

Persistent link: https://www.econbiz.de/10012024029

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Theory and application of an economic performance measure of risk

Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017

is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one … simulations to show the proposed theory performs well for one and two independent samples. The simulations show that the proposed … approach is robust in the dependent case. The theory developed is used to construct both one-sample and two-sample confidence …

Persistent link: https://www.econbiz.de/10011688326

Aggregate risk and efficiency of mutual funds

Kucinskas, Simas - 2015

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifiable interest rate risk. However, if only...

Persistent link: https://www.econbiz.de/10011339154

Explaining hedge fund investment styles by loss aversion: a rational alternative

Siegmann, Arjen; Lucas, André - 2002

Persistent link: https://www.econbiz.de/10001689199

The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

Persistent link: https://www.econbiz.de/10008655194

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10011382429

Stock selection strategies in emerging markets

Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...

Persistent link: https://www.econbiz.de/10011313928