We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

Defined benefit pension schemes accumulate assets with the ultimate objective of honoring their obligation to the beneficiaries. Liabilities should be at the center of designing investment policies and serve as the ultimate reference point for evaluating and allocating risks and measuring...

The issue of pension benefit security has returned to the foreground of both economic and political debate in many OECD countries - following high profile losses of pension benefits due to plan sponsors becoming bankrupt and leaving underfunded pension schemes. Some countries have dealt with...

This paper investigates whether foreign institutional investors in emerging markets can enhance shareholder value. We pay special attention to two dimensions of investor heterogeneity: whether an investor declares itself as an activist, and whether an investor comes from a country with a strong...

We study optimal asset allocation for a portfolio of European fixed-income mutual funds during the recent financial turmoil. We use a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. Our analysis focuses...

This paper presents empirical evidence on the increasing allocation of institutional investors to emerging markets economies. It seeks to understand which factors are driving this increase, and how this relates to portfolio flows to such economies. By making use of the Emerging Portfolio Fund...

This paper empirically compares the static unconditional Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR) estimates based on two extreme value theory (EVT) distributions: the generalized extreme value distribution (GEV) and the generalized Pareto distribution (GPD); and two other...

This is the first empirical evidence on the competition between high-frequency traders (HFTs) and its influence on market quality. We exploit the first entries of international HFTs into the Swedish equity market in 2009 and conduct a difference-in-differences analysis using trade-by-trade data....

Abstract This paper develops a two-country stock-flow consistent model to analyse the relationship between advanced and emerging countries. The relationship between the two countries is asymmetric: advanced countries are characterised by an institutional investors’ sector which invests in both...