This paper tests whether performance persistence exists in the hedge fund industry in the sense that some funds have consistently higher returns than others. Several procedures are used to determine if performance persists. The results show that performance persists in hedge funds with some...

This paper analyzes and compares behaviors of regulators and polluting firms in emission tax systems with and without commitment to monitoring. In the commitment case, firms can be compliant or non-compliant at equilibria. Firms’ compliance implies that regulators will face the paradox of ex...

This article analyzes and compares behaviors of a regulator and polluting firms in tradeable permit systems with and without commitment to auditing. If all firms are compliant, the equilibria under both of the schemes are the same. In contrast, if noncompliant firms exist, the equilibria under...

This article analyzes regulator and polluting firm behavior in an emission tax system with imperfect monitoring, and contrasts the associated results with those under perfect monitoring. It is found that the firm’s optimal emissions may depend on either monitoring probability or emission tax...

In this paper we analyze the optimal incentive contracts under imperfect auditing. Both principal's commitment and no commitment to auditing cases are investigated. In the commitment case, the Baron-Besanko-type (RAND Journal of Economics, Vol. 15 (1984), pp. 447-470) contract would fail under...

A GARCH-stable process is tested as a model of the distribution of daily future prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by...