Showing 1 - 10 of 18
Persistent link: https://www.econbiz.de/10010380940
We develop a dynamic model with time variation in external equity financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high...
Persistent link: https://www.econbiz.de/10010353303
We provide the first quantitative survey of the empirical literature on hedge fund performance. We examine the impact of potential biases on the reported results. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alpha") collected from 74...
Persistent link: https://www.econbiz.de/10013404563
Persistent link: https://www.econbiz.de/10014520910
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward trend in the reported alphas. The trend...
Persistent link: https://www.econbiz.de/10014521048
Persistent link: https://www.econbiz.de/10013269905
We provide the first quantitative survey of the empirical literature on hedge fund per- formance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by lim- ited consensus on how hedge...
Persistent link: https://www.econbiz.de/10013270929
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10013052506
Persistent link: https://www.econbiz.de/10009501684
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10012458455