Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10003493123
This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...
Persistent link: https://www.econbiz.de/10010485488
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011308590
Persistent link: https://www.econbiz.de/10011774674
Persistent link: https://www.econbiz.de/10011751857
Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty and controlling for market...
Persistent link: https://www.econbiz.de/10012904720
Globalization, deregulation, and European Union accession talks triggered a merger wave in Turkish banking. We investigate how this massive restructuring shaped the ownership structure, returns, and risk of target banks. Before the merger wave, 75 percent of target banks were part of a...
Persistent link: https://www.econbiz.de/10014353890