This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...

This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU countries. We construct an index of similarity of financial portfolios which we then put into context with the view that “the financial world” has an impact on business cycles...

In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the government’s budget. We analyze the interaction between the draw from and...

The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...

In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles, a fundamental aspect in the efficient management of an investment portfolio. We also analyze the skills of these managers to...

In this paper we studied the impact of the integration of emerging markets in a portfolio composed initially of developed markets. The sample is composed of seven stock indices of developed markets and nine emerging market stock indices. Our main conclusions are the following. First, a study of...

This paper documents the trading behaviour of actively managed equity mutual funds from the perspective of their trading cost management. Consistent with the predictions in the literature of portfolio choice with trading costs, I present three main findings. Firstly, mutual funds trade more...

The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter,...

During times of market turmoil, investors often seek to mitigate the risk associated with traditional investment assets such as equities and debt. The hedging, safe-haven and downside risk reduction properties of gold are examined in this paper for investors with short- and long-run horizons....