We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several historical, time-series model, and option implied estimators for estimating realized market beta. Thereby, we find the hybrid methodology of Buss and Vilkov (2012) to consistently...

We investigate the characteristics of infrastructure as an asset class from an investment perspective of a limited partner. While non U.S. institutional investors gain exposure to infrastructure assets through a mix of direct investments and private fund vehicles, U.S. investors predominantly...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return components may exhibit dynamic Markov switching behaviour....

We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock...

This paper empirically decomposes hedge fund excess return into factor timing, security selection, and risk premium using Lo (2008)'s performance measure. Portfolio-level tests show that security selection explains most of the excess return generated by hedge funds during 1994-2009, and the...