Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from the standpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments...

Using data from 319 microfinance institutions (MFIs) in 68 developing countries, we study the degree to which international debt investments are related to the financial and social performances of MFIs. We find that commercial investments are mainly related to financial performance and level of...

This paper studies the performance of a sample of funds of hedge funds (FoHFs) from January 1994 to August 2009. We apply the false discoveries (FD) technique of Barras, Scaillet and Wermers (2010) to separate the FoHFs into skilled, zero-alpha and unskilled. We measure the alpha of the FoHFs...

This paper draws a global picture of worldwide microfinance equity. Taking full advantage of daily quoted prices of microfinance stocks from their issuance, we construct microfinance country equity indices and an international global microfinance index. We analyze changes in these indices,...

In this paper, we develop a theoretical model of fund of hedge fund net leverage and alpha where the cost of borrowing is increasing with net leverage, thereby impacting the performance. We use this model to determine the conditions under which the leverage has a negative or a positive impact on...

In this paper, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior. Therefore, forming portfolios based on their...

Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990-2008, and we test the role of each...

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...

In a context where MIVs face several bottlenecks regarding their future role in the microfinance industry, this paper suggests a brand new way of reviewing their commitment to double bottom line returns. We suggest using the MACBETH (Measuring Attractiveness by a Categorical Based Evaluation...

To what extent do business angels really understand their own decision process? This paper is the first in business angel research literature to use conjoint analysis to capture decision makers’ actual decision policies and to compare these results with their stated decision policies. Although...