Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

This study investigates whether domestic managers and their foreign counterparts differ in terms of return patterns over time, and where such difference originates. Reasons of financial sophistication of mutual fund markets lead to the assumption that money managers may behave differently from...

type="main" xml:id="obes12052-abs-0001" <title type="main">Abstract</title> <p>In this article, we try to realize the best compromise between in-sample goodness of fit and out-of-sample predictability of sovereign defaults. To do this, we use a new regression-tree based approach that signals impending sovereign debt crises...</p>

Based on a Bayesian time-varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. Using data from CSFB/Tremont indices over the period January...

This paper introduces a theoretical framework for collective decision making to describe fluctuations and transitions in financial markets. Investors are assumed to be boundedly rational, using a limited set of information including past price history and expectation on future dividends....

This paper introduces a theoretical framework for collective decision making to describe fluctuations and transitions in financial markets. Investors are assumed to be boundedly rational, using a limited set of information including past price history and expectation on future dividends....

This paper employs a recent statistical algorithm (CRAGGING) in order to build an early warning model for banking crises in emerging markets. We perturb our data set many times and create “artificial” samples from which we estimated our model, so that, by construction, it is flexible enough...

This paper introduces a theoretical framework for collective decision making to describe fluctuations and transitions in financial markets. Investors are assumed to be boundedly rational, using a limited set of information including past price history and expectation on future dividends....

In this paper, we realise an early warning system for hedge funds based on specific red flags that help detect the symptoms of impending extreme negative returns and the contagion effect. To do this we use regression tree analysis to identify a series of splitting rules that act as risk signals....