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Real estate as a common risk factor in bank stock returns

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The informational dimensions of the Amihud (2002) illiquidity measure : evidence from the M&A market

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Geopolitical risk and the dynamics of REITs returns

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The relative importance of economic policy uncertainty and geopolitical risk on U.S. REITs returns

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Leverage risk and REIT returns

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La précision des analystes financiers en Europe : l'effet pays et l'effet secteur revisités

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The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential

Cavenaile, Laurent - 2011

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and...

Persistent link: https://www.econbiz.de/10013134217