The paper investigates how the mix of credit risk measurement methodologies under Basel capital adequacy rules influenced banking stability in the Netherlands during 2008-2015. It presents a first descriptive analysis that helps to examine the micro-regulation of individual banks and the...

The average alpha of mutual funds is an indication of whether it pays off to invest in actively managed funds. In this study we show that a substantial part of the variation in the average alpha can be explained by exogenous factors. The most important factors are the average expense ratio, the...

The shape of the flow-performance relationship in the hedge fund industry is not constant over time, but varies across market conditions. We employ a switching regression approach to explain quarterly hedge fund flows, based on two regimes where either inflows or outflows are dominating,...

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...

In many countries there is a lack of genuine panel data where specific individuals or firms are followed over time. However, repeated cross-sectional surveys may be available, where a random sample is taken from the population at consecutive points in time. In this paper we discuss the...

Pandemics harm the economy. Governments use social distancing and other non-pharmaceutical interventions (NPI) to tackle the pandemic. Recent data from the 1918 influenza pandemic ('Spanish Flu') suggest that a strict NPI policy on average not only reduces mortality but is also helpful to...

The driving force behind the well-documented medium term momentumeffect in stock returns is subject of much debate. Empirical papersthat aim to find the determinants of this return continuation, seem tobe almost exclusively restricted to US stock markets. Consequently,regional effects have...

We revisit the question of capacity constraints in the hedge fund industry by looking at over 2,000 individual funds operating within ten different strategy segments over the years 1994 to 2006. By first looking at fund specific determinants of alpha returns, we demonstrate that the negative...

Previous studies have shown that systematic risk in hedge fund returns is partly captured by short positions in put option returns. This is suggestive of a potential 'peso problem' in hedge fund returns: a series of steady returns may alternate with an occasional crash. In this paper, we analyze...