The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...

This paper re-examines the ability of the factor model approach to evaluate the performance of the Equity Hedge, Event Driven, Macro, Relative Value, and Funds of Hedge Funds styles. As Hedge Fund returns are not normally distributed, we assign a premium to higher-order comoments of Hedge Fund...

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the...

We examine the dynamic trading strategies implemented by hedge fund managers using a Kalman filter. We investigate the risk drivers of dynamic trades, examining which macroeconomic variables strongly lead the time variation in fund trades. We show that hedge funds control the intensity of their...

Our paper reexamines the methodology of Fama and French (1993) for creating US empirical risk factors, and proposes an extension on the way to compute the mimicking portfolios. Our objective is to develop a modified Fama and French (F&F) methodology that could be easily implemented on other...

This paper estimates higher-order comoment equity risk premiums for the US stock markets. We use an extension of the Fama and French (1993) method to infer the returns attached to a unit exposure to coskewness and cokurtosis risks in the US equity markets. The coskewness and cokurtosis premiums...