We estimate the risk and expected returns of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and publicly traded private equity funds participating directly in private equity transactions. Based on the performance of these two types of...

We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948-2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia,...

We study the effects of the reform of the system of severance payments (TFR) of Italian employees on the cost and the access to credit for small and medium-size enterprises (SMEs). The most direct consequence of the reform is to reduce in the long run the amount of liquid assets available to...

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor's over the period 1980 to 2005 we directly estimate the credit cycle from the micro rating data. We...

This paper analyzes the performance and risk-return characteristics of three major emerging art markets: Russia, China, and India. According to three national art market indices, built by hedonic regressions based on auction sales prices, the geometric annual returns are 10.00%, 5.70%, and...

The art market has seen a sustained growth over the last years, but participation has been reserved for just a few investors. The paper proposes to overcome this problem by introducing a call option on an art index which is derived from one of the most comprehensive data sets of art market...

Islamic equity funds (IEFs) differ fundamentally from conventional equity funds since Muslims are prohibited to invest in certain companies/sectors and pay or receive interest. This paper analyzes the risk and return characteristics of a sample of 145 IEFs over the period 2000 to 2009. Our...

The record-breaking prices observed in the art market for the last three years have rais the question of whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive...

The record-breaking prices observed in the art market over the last three years raise the question of whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions...

We present evidence that some mutual funds systematically act as contrarian traders, and earn returns in the stock market by providing liquidity to investors that demand immediacy, while others systematically realize costs of immediacy. On average, the mutual funds’ costs of immediacy exceed...