We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take...

In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be...

This paper explores optimal ways for a firm to sell its initial public offering (IPO) to a mix of informed and uninformed investors through an intermediary. The informed investors are assumed to behave as an quot;exclusive clubquot; by colluding to protect their private information about the IPO...

We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take...

An absorbing game is a repeated game where some action combinations are absorbing, in the sense that whenever they are played, there is a positive probability that the game terminates, and the players receive some terminal payoff at every future stage. We prove that every multi-player absorbing...