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We investigate the performance of a sample of German mutual equity funds overthe period from 1994 to 2003. Our general finding is that mutual funds, on average,hardly produce excess returns relative to their benchmark that are large enough tocover their expenses. This conclusion is drawn from a...
This paper investigates the impact of individual bank fundamental variables onstock market returns using data from a panel of 235 European banks from 1991to 2005. The sample period marks a significant transition in the European bankingsector, characterized by higher competition, lower profit...
Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and...
This paper examines properties of mean-variance inefficient proxieswith respect to producing a linear relation between expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient, positively weighted proxies causean almost perfect linear...
The question of whether the CEO should also serve as chairman of the board is one of themost hotly debated issues in the recent corporate governance discussion. While agencytheoreticarguments advocate a separation of decision and control functions, the empiricalevidence focusing on U.S....
This paper provides a discussion about some recent issues related to the transfer ofcredit risk (CRT) from the perspective of global liquidity. The CRT market is enormouslygrowing and exhibits major structural shifts in terms of buyers and sellers ofprotection. I try to address these issues from...
Das Anlageverhalten von Privatinvestoren unterscheidet sich teilweise markant vonden Voraussagen, welche man aufgrund von Modellen der Portfolioselektion anstellenwürde: so sind beispielsweise Portfolios häufig nicht breit diversifiziert, weder bezüglichder Anzahl der Titel noch bezüglich...
This study questions the rationality of people investing in HFs. I usea sample of London listed closed-end hedge funds to evaluate two criteriathat imply irrational behavior. I nd that the rationality of investorscan not be rejected for the majority of time. However, the results alsoimply that...
Current discussions about public and private pension plans often include a statement that thestock market is less risky in the long run than in the short run. Pension plans with their ratherlong planning horizon are therefore asked to increase their allocation to the stock market.These...
This paper originates in an email sent by the second author wondering whether the first author knewabout Bronzin’s booklet on option pricing, dating back almost a century and containing formulas whichappear rather similar to those developed by Black-Scholes. The scepticism of the first author...