Hedge funds have generated significant absolute returns (alpha) in the decade between 1995 and 2004. However, the level of alpha has declined substantially over this period. We investigate whether capacity constraints at the level of hedge fund strategies have been responsible for this decline....

We decompose currency returns into (permanent) intrinsic-value shocks and (transitory) expected-return shocks. We explore interactions between these shocks, currency returns, and institutional-investor currency flows. Intrinsic-value shocks are: dwarfed by expected-return shocks (yet currency...

We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns...

We employ loan-level data on over a million loans disbursed in India between 1995 and 2010 to understand how fast-changing regulation impacted mortgage lending and risk. Our methodology offers an alternative to regression discontinuity analysis that applies even when regulations create no...

While there has been enormous interest in hedge funds from academics, prospective and current investors, and policymakers, rigorous empirical evidence of their impact on asset markets has been difficult to find. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios,...

This paper reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profitably towards value stocks and stocks with low turnover, but these tilts do not fully...

The infrequent nature of crises means that pure time-series methods struggle to distinguish the effects of capital flight on asset prices from a wide range of alternative drivers. We present a new cross-sectional approach, which is motivated by the insight that investors may have different...

As the regulation of public companies has tightened, many companies have switched to stock exchanges with lower regulatory requirements. We analyse the consequences for smaller quoted companies of switching between the two London markets, which differ in their regulatory regimes. Firms that...