With continued strong inflows into hedge fund strategies, it is imperative for researchers to study if hedge funds are still worth their high fees. In an updated and comprehensive study covering both North American and Asian hedge funds, we find market risk factors explain up to 81% of hedge...

In 2008, Epstein and Schneider formulated a microstructure-inspired theory in which one could determine price volatility through a number of other market parameters such as asset volatility, risk free rate and dividend rate. A particular feature of the Epstein-Schneider theory is an extremely...

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

The calculation of expected returns is a necessary ingredient in data processing for an event study. The method most commonly used, the market model, often fails to meet the OLS requirement of normally distributed residuals, and tends to furnish regression output (low R2, and insignificant t-...

We find that when measured in terms of dollar-turnover, and once beta-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of 5.1, the “Cold-Minus-Hot” (CMH) anomaly is certainly not less significant than other well-known factors such as Value or...

This paper extends recent discussion on the effectiveness of mutual fund performance measures. We utilize the well-known value premium to examine the ability of mutual fund performance measures to distinguish between the results of value funds and growth funds. Specifically, we examine the...

This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

We examine the impact of pandemics on equilibrium in an integrated epidemic-economy model with production. Two types of technologies are considered: a neoclassical technology and one capturing the notion of time-to-produce. The impact of a shelter-in-place policy with and without layoffs is...

The risk of infrastructure investments is driven by unique factors that cannot be well described by standard asset class factor models. We thus create a nine-factor model based on infrastructure-specific risk exposure, i.e., market risk, size, value, momentum, cashflow volatility, leverage,...