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Return smoothing and performance persistence are both sources of autocorrelation in hedge fund returns. The practice of pre-processing the data in order to remove smoothing before conducting performance analysis also affects the predictability of hedge fund returns. This paper develops a...
Persistent link: https://www.econbiz.de/10012706394
Persistent link: https://www.econbiz.de/10011399822
This paper studies how stock market sentiment impacts corporate bond valuations. Using bond transactions from the Trading and Compliance Engine (TRACE), we find that sentiment is negatively related to bond yield spreads, with the impact being stronger after the onset of the recent credit crisis....
Persistent link: https://www.econbiz.de/10012905272
In light of the strong correlation between exchange rate movements and domestic prices in Turkey, it is important to assess the impact of the exchange rate on domestic prices, in particular as Turkey moves to an inflation targeting regime. This paper uses a recursive vector autoregression model...
Persistent link: https://www.econbiz.de/10014399543
This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only...
Persistent link: https://www.econbiz.de/10014400782
Little empirical investigation exists of the links among capital account liberalization, prudential regulation and supervision, financial crises, and economic development, mainly because of the lack of comparable measures to describe regulatory practices for different countries. This paper...
Persistent link: https://www.econbiz.de/10014401128
Most treasuries around the world sell their securities at auctions either directly or indirectly through an agent, usually the central bank. Although they can control both the rules and the timing of the auction, they may not be able to control the information and valuations of bidders. The...
Persistent link: https://www.econbiz.de/10014401801
We explore statistical commonalities among granular measures of market liquidity with the goal of illuminating systemwide patterns in aggregate liquidity. We calculate daily invariant price impacts described by Kyle and Obizhaeva [2014] to assemble a granular panel of liquidity measures for...
Persistent link: https://www.econbiz.de/10013021938
It has been shown in the behavioral decision making, marketing research, and psychometric literature that the structure underlying preferences can change during the administration of repeated measurements (e.g., conjoint analysis) and data collection because of effects from learning, fatigue,...
Persistent link: https://www.econbiz.de/10012989416
This manuscript introduces a new Bayesian finite mixture methodology for the joint clustering of row and column stimuli/objects associated with two-mode asymmetric proximity, dominance, or profile data. That is, common clusters are derived which partition both the row and column stimuli/objects...
Persistent link: https://www.econbiz.de/10012989420