Showing 1 - 10 of 139
Persistent link: https://www.econbiz.de/10000049179
Persistent link: https://www.econbiz.de/10002188642
Persistent link: https://www.econbiz.de/10003519683
This paper analyzes the effects of the federal tax structure on corporate financial and investment behavior. We first develop a model of corporate behavior given taxes, taking into account both uncertainty and costs of bankruptcy. Simpler models abstracting from bankruptcy costs had clear...
Persistent link: https://www.econbiz.de/10012763323
From a database that is relatively free of bias, this article provides measures of the returns of hedge funds and of the distinctly nonnormal characteristics of the data. The results include risk-adjusted measures of performance and tests of the degree to which hedge funds live up to their claim...
Persistent link: https://www.econbiz.de/10012784009
One striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as a three sigma event; that is, a daily movement in the broad...
Persistent link: https://www.econbiz.de/10012757904
The evidence is overwhelming that active equity management is, in the words of Ellis (1998), a quot;loser's game.quot; Switching from security to security accomplishes nothing but to increase transactions costs and harm performance. Thus, even if markets are less than fully efficient, indexing...
Persistent link: https://www.econbiz.de/10012785089
This paper investigates whether predictable patterns that previous empirical work in finance have isolated appear to be persistent and exploitable by portfolio managers. On a sample that is free from survivorship bias we construct a test wherein we simulate the purchases and sales an investor...
Persistent link: https://www.econbiz.de/10012791765
This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This...
Persistent link: https://www.econbiz.de/10012742112
This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This...
Persistent link: https://www.econbiz.de/10012787427