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This study analyses and decomposes hedge fund returns to detect a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform classical equities and bond indices over a full market cycle and over bullish and bearish market periods. The...
Persistent link: https://www.econbiz.de/10005040079
This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high...
Persistent link: https://www.econbiz.de/10005471853
Persistent link: https://www.econbiz.de/10005021280
Cette étude a pour objectif d'analyser en profondeur la corrélation qui existe entre les stratégies d'investissement alternatives communément appelées hedge funds et les produits d'investissement classiques. Nous procédons à une analyse en regroupant les fonds par stratégie...
Persistent link: https://www.econbiz.de/10005557933
Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...
Persistent link: https://www.econbiz.de/10005134782
Persistent link: https://www.econbiz.de/10005235167
We investigate how the voluntary adoption of the International Financial Reporting Standards (IFRS) prior to 2005 has contributed to the informational efficiency regarding pan-European stock markets. We find evidence of the potential usefulness of the IFRS for making financial decisions. Taking...
Persistent link: https://www.econbiz.de/10005404523
By focusing on the investors, IFRS disclosure is intended to support economic guidance. The scope of this study is, therefore, to highlight key indicators for value relevance of the IFRS framework. Through a pan-European event study, we first consider the problem of confidence in investments and...
Persistent link: https://www.econbiz.de/10005242945
Le " must " des ouvrages de finance d'entreprise enfin disponible en français !Edité pour la première fois en langue française, Finance Corporate couvre le cours de gestion financière enseigné dans les écoles de commerce et universités. Ce classique des ouvrages de gestion financière,...
Persistent link: https://www.econbiz.de/10011163422
Using an international database featuring 1624 mutual funds over 15years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the...
Persistent link: https://www.econbiz.de/10011118054