We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based on these fully-implied estimators outperforms several...

In this paper we develop the first estimator of the covariance matrix that relies solely on forward-looking information. This estimator only uses price information from a cross-section of plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that a minimum-variance...

We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based on these fully-implied estimators outperforms several...

We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based on these fully-implied estimators outperforms several...

This paper provides the first empirical test of the diversification of opinions theory and the groupshift theory using real business data. Our data set covers management teams and single managersof US equity mutual funds. Our results reject the group shift theory and support thediversification...

Using 13F position valuations, we show that hedge fund advisors intentionallymismark their stock positions. We document manipulation even after eliminatingissues inherent in the pricing of illiquid securities. The documented mismarking isrelated to hedge fund incentives. Mismarking is more...

This paper serves two purposes. First, we introduce a new data set on the German stock marketwhich is publicly available to all researchers. It comprises factor returns (a market factor, asize factor, a book-to-market factor, and a momentum factor) as well as returns of portfolioswhich are...

In dieser Arbeit untersuchen wir Höhe und Struktur der Vergütung von Fondsmanagern underklären diese durch Eigenschaften des Arbeitnehmers, des Arbeitgebers und desArbeitsplatzes. Die Vergütungshöhe hängt primär von der Bedeutung des Arbeitsplatzes imUnternehmen ab, die...