Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to...

Using CRSP stock and mutual fund data, we find strong evidence for reversals at the style level (e.g., large value, small growth, etc.). There are significant excess and risk-adjusted returns for stocks in styles characterized by the worst past returns and net inflows. We also find evidence for...

This paper analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asian-focused hedge funds. We find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research...

We find that local analyst recommendations are systematically more optimistic than foreign analyst recommendations in emerging markets. The effects of this novel quot;home biasquot; among local analysts overwhelm any information asymmetry between foreign and local analysts. Consequently, local...

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment...

This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the quot;joint hypothesisquot; dilemma of traditional market efficiency tests because...

This paper introduces current situations of agricultural insurance market in Shaanxi Province. It is indicated that development of Shaanxi's agricultural insurance industry is faced with following difficulties. First, risks of agricultural production are various, occurrence frequency is high and...

We examine the simultaneous management of hedge funds and funds of hedge funds. Hedge fund firms can choose to simultaneously offer a fund of hedge funds. Similarly, fund of hedge fund firms can simultaneously offer a hedge fund. We find that while superior past performance and larger size drive...

The article uses a sample of four state-owned commercial banks, ten joint-share commercial banks, and all foreign banks in China to examine the changes in market structure and financial performance (profitability) of Chinese commercial banks. The market structure appears to have some influence...