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Stephen J. Brown

Not to be confused with: Stephen P. A. Brown

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.

    Mentioned in:

    1. A hedge on the edge: SAC Capital's insider trading scandal
      by Lorenzo Casavecchia, Lecturer in Finance at University of Technology, Sydney in The Conversation on 2013-07-26 01:09:34

Working papers

  1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020. "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers 14873, C.E.P.R. Discussion Papers.
    2. Gavin Cassar & Joseph Gerakos, 2017. "Do risk management practices work? Evidence from hedge funds," Review of Accounting Studies, Springer, vol. 22(3), pages 1084-1121, September.
    3. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Haziza, Mor M. & Kalay, Avner, 2020. "Trust and delegation: A case to consider on broker rebates and investor sophistication," Journal of Financial Markets, Elsevier, vol. 49(C).
    5. Douglas Cumming & Simona Zambelli, 2017. "Due Diligence and Investee Performance," European Financial Management, European Financial Management Association, vol. 23(2), pages 211-253, March.
    6. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    7. Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2014. "The Performance of Separate Accounts and Collective Investment Trusts," Review of Finance, European Finance Association, vol. 18(5), pages 1717-1742.
    8. Patton, Andrew & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
    9. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
    10. Chernobai, Anna & Ozdagli, Ali & Wang, Jianlin, 2021. "Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 418-440.
    11. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    12. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    13. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    14. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
    15. Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek, 2018. "Hedge Fund Holdings and Stock Market Efficiency," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 77-116.
    16. Cline, Brandon N. & Walkling, Ralph A. & Yore, Adam S., 2018. "The consequences of managerial indiscretions: Sex, lies, and firm value," Journal of Financial Economics, Elsevier, vol. 127(2), pages 389-415.
    17. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2021. "Are hedge funds' charitable donations strategic?," Journal of Corporate Finance, Elsevier, vol. 66(C).
    18. Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
    19. Quentin Dupont & Jonathan M. Karpoff, 2020. "The Trust Triangle: Laws, Reputation, and Culture in Empirical Finance Research," Journal of Business Ethics, Springer, vol. 163(2), pages 217-238, May.
    20. Guillermo Baquero & Marno Verbeek, 2022. "Hedge Fund Flows and Performance Streaks: How Investors Weigh Information," Management Science, INFORMS, vol. 68(6), pages 4151-4172, June.
    21. Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2021. "Dysfunctional Markets: A Spray of Prey Perspective," Journal of Economic Issues, Taylor & Francis Journals, vol. 55(3), pages 797-819, July.
    22. Raphael Boleslavsky & Bruce Carlin & Christopher Cotton, 2019. "Disincentive Effects of Evaluation," Working Paper 1410, Economics Department, Queen's University.
    23. Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2018. "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies," 2018 Meeting Papers 1146, Society for Economic Dynamics.
    24. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2020. "Are hedge funds' charitable donations strategic?," CFR Working Papers 20-14, University of Cologne, Centre for Financial Research (CFR).
    25. Luca Corazzini & Christopher Cotton & Tommaso Reggiani, 2020. "Delegation and coordination with multiple threshold public goods: experimental evidence," Experimental Economics, Springer;Economic Science Association, vol. 23(4), pages 1030-1068, December.
    26. Áron Tóth, 2014. "Reputation Effects In The Market Of Certifiers: Evidence From The Audit Industry," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 505-517, April.
    27. Vikas Agarwal & Yan Lu & Sugata Ray, 2016. "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds," Management Science, INFORMS, vol. 62(3), pages 722-740, March.

  2. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Estimating Operational Risk for Hedge Funds: The ?-Score," Yale School of Management Working Papers amz2559, Yale School of Management, revised 11 Sep 2009.

    Cited by:

    1. Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020. "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers 14873, C.E.P.R. Discussion Papers.

  3. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.

    Cited by:

    1. Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020. "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers 14873, C.E.P.R. Discussion Papers.
    2. Yuqian Xu & Lingjiong Zhu & Michael Pinedo, 2020. "Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls," Operations Research, INFORMS, vol. 68(6), pages 1804-1825, November.
    3. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Jędrzej Białkowski & Huong Dieu Dang & Xiaopeng Wei, 2017. "Does the Tail Wag the Dog? Evidence from Fund Flow to VIX ETFs and ETNs," Working Papers in Economics 17/17, University of Canterbury, Department of Economics and Finance.
    5. Massoud, Nadia & Nandy, Debarshi & Saunders, Anthony & Song, Keke, 2011. "Do hedge funds trade on private information? Evidence from syndicated lending and short-selling," Journal of Financial Economics, Elsevier, vol. 99(3), pages 477-499, March.
    6. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
    7. Larry Li & Imad Moosa, 2015. "Operational risk, the legal system and governance indicators: a country-level analysis," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2053-2072, April.
    8. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    9. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
    10. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
    11. Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
    12. Li, Lu & Li, Yihang & Wang, Xueding & Xiao, Tusheng & Zhu, Hongjun, 2022. "Hedge fund networks, information dissemination, and stock price comovement: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 83(C).
    13. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.
    14. Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2011. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (I)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 1(1), pages 19-36, December.
    15. Arpit Gupta & Kunal Sachdeva, 2019. "Skin or Skim? Inside Investment and Hedge Fund Performance," NBER Working Papers 26113, National Bureau of Economic Research, Inc.
    16. Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
    17. Sung C. Bae & Hyeon Sook Kim & Taek Ho Kwon, 2018. "Currency derivatives for hedging: New evidence on determinants, firm risk, and performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 446-467, April.
    18. Patton, Andrew & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
    19. Beggs, William & Harvison, Thuong, 2023. "Fraud and abuse in the paycheck protection program? Evidence from investment advisory firms," Journal of Banking & Finance, Elsevier, vol. 147(C).
    20. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
    21. Chernobai, Anna & Ozdagli, Ali & Wang, Jianlin, 2021. "Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 418-440.
    22. Jiao, Yawen & Ye, Pengfei, 2014. "Mutual fund herding in response to hedge fund herding and the impacts on stock prices," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 131-148.
    23. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    24. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    25. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.
    26. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    27. Harvey S. Rosen & Alexander J. W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," NBER Working Papers 21271, National Bureau of Economic Research, Inc.
    28. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-Intermediated Arbitrage," Liberty Street Economics 20181018, Federal Reserve Bank of New York.
    29. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
    30. Dimmock, Stephen G. & Gerken, William C., 2012. "Predicting fraud by investment managers," Journal of Financial Economics, Elsevier, vol. 105(1), pages 153-173.
    31. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2021. "Are hedge funds' charitable donations strategic?," Journal of Corporate Finance, Elsevier, vol. 66(C).
    32. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    33. George O. Aragon & Ji-Woong Chung & Byoung Uk Kang, 2023. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?," Management Science, INFORMS, vol. 69(8), pages 4932-4952, August.
    34. David Solomon & Eugene Soltes, 2015. "What Are We Meeting For? The Consequences of Private Meetings with Investors," Journal of Law and Economics, University of Chicago Press, vol. 58(2), pages 325-355.
    35. Guillermo Baquero & Marno Verbeek, 2022. "Hedge Fund Flows and Performance Streaks: How Investors Weigh Information," Management Science, INFORMS, vol. 68(6), pages 4151-4172, June.
    36. Adam L. Aiken & Christopher P. Clifford & Jesse Ellis, 2015. "The Value of Funds of Hedge Funds: Evidence from Their Holdings," Management Science, INFORMS, vol. 61(10), pages 2415-2429, October.
    37. Lingling Zheng & Xuemin (Sterling) Yan, 2021. "Financial Industry Affiliation and Hedge Fund Performance," Management Science, INFORMS, vol. 67(12), pages 7844-7865, December.
    38. Juha Joenväärä & Robert Kosowski, 2021. "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, vol. 25(1), pages 189-233.
    39. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
    40. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
    41. Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2018. "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies," 2018 Meeting Papers 1146, Society for Economic Dynamics.
    42. Judy Qiu & Leilei Tang & Ingo Walter, 2018. "Hedge fund incentives, management commitment and survivorship," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 115-142, May.
    43. Harvey S. Rosen & Alexander J. W. Sappington, 2016. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Education Finance and Policy, MIT Press, vol. 11(4), pages 404-425, Fall.
    44. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
    45. Colleen Honigsberg, 2019. "Hedge Fund Regulation and Fund Governance: Evidence on the Effects of Mandatory Disclosure Rules," Journal of Accounting Research, Wiley Blackwell, vol. 57(4), pages 845-888, September.
    46. Roxana HERGHILIGIU, 2013. "Operational Risk Disclosure In Romanian Commercial Banks," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 4(4), pages 171-178, December.
    47. Eliezer Fich & Viktoriya Lantushenko & Clemens Sialm, 2019. "Institutional Trading Around M&A Announcements," NBER Working Papers 25814, National Bureau of Economic Research, Inc.
    48. Cumming, Douglas & Dai, Na & Haß, Lars Helge & Schweizer, Denis, 2012. "Regulatory induced performance persistence: Evidence from hedge funds," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1005-1022.
    49. Gorovyy, Sergiy & Kelly, Patrick J. & Kuzmina, Olga, 2021. "Does secrecy signal skill? Own-investor secrecy and hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 133(C).
    50. Mullally, Kevin A., 2022. "Outside ownership in the hedge fund industry," Journal of Banking & Finance, Elsevier, vol. 144(C).
    51. Faff, Robert W. & Parwada, Jerry T. & Tan, Eric K.M., 2019. "Did connected hedge funds benefit from bank bailouts during the financial crisis?," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    52. Sharma, Narendra, 2014. "Extent of corporate governance disclosure by banks and finance companies listed on Nepal Stock Exchange," Advances in accounting, Elsevier, vol. 30(2), pages 425-439.
    53. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    54. Jun Zhang, 2018. "Informed Options Trading Prior to Dividend Change Announcements," Financial Management, Financial Management Association International, vol. 47(1), pages 81-103, March.
    55. Lee, Bong Soo & Li, Ming-Yuan Leon, 2012. "Diversification and risk-adjusted performance: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2157-2173.
    56. Harvey S. Rosen & Alexander J.W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Working Papers 244, Princeton University, Department of Economics, Center for Economic Policy Studies..
    57. Knill, April M. & Lee, Bong Soo & Mauck, Nathan, 2012. "Sovereign wealth fund investment and the return-to-risk performance of target firms," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 315-340.
    58. Andrea M. Buffa & Suleyman Basak, 2016. "A Theory of Operational Risk," 2016 Meeting Papers 352, Society for Economic Dynamics.
    59. Lee, Jennifer Eunkyeong & Cho, Hoon & Ryu, Doojin & Seok, Sangik, 2023. "Does performance-chasing behavior matter? International evidence," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    60. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
    61. Douglas Cumming & Na Dai, 2010. "Hedge Fund Regulation and Misreported Returns," European Financial Management, European Financial Management Association, vol. 16(5), pages 829-857, November.
    62. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    63. George Aragon & Bing Liang & Hyuna Park, 2014. "Onshore and Offshore Hedge Funds: Are They Twins?," Management Science, INFORMS, vol. 60(1), pages 74-91, January.

  4. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.

    Cited by:

    1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    2. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    3. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information : a case study of the United Kingdom," Social Protection Discussion Papers and Notes 21312, The World Bank.
    4. Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
    5. Allan Timmermann & Asger Lunde, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," FMG Discussion Papers dp302, Financial Markets Group.
    6. DeYoung, Robert & Glennon, Dennis & Nigro, Peter, 2008. "Borrower-lender distance, credit scoring, and loan performance: Evidence from informational-opaque small business borrowers," Journal of Financial Intermediation, Elsevier, vol. 17(1), pages 113-143, January.
    7. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.
    8. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    9. Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
    10. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan, 2008. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Working Papers 2008/60, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    11. Artamonov, Nikita & Voronina, Anna & Emelyanov, Nikita & Kurbatskii, Aleksei, 2020. "Estimation of interest rates’ impact on mutual funds’ performance in the USA," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 55-75.
    12. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
    13. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    14. Manakyan, Herman & Liano, Kartono, 1997. "Performance of mutual funds before and after closing to new investors," Financial Services Review, Elsevier, vol. 6(4), pages 257-269.
    15. Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013. "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper 83500, University Library of Munich, Germany, revised 2013.
    16. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    17. Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz, 2009. "On the long-term behavior of mutual fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 653-660.
    18. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
    19. Machnik Jadwiga, 2020. "Performance Persistence and Gamma Convergence in Absolute Return Funds in Poland Over the Period 2011-2018," Financial Sciences. Nauki o Finansach, Sciendo, vol. 25(2-3), pages 41-54, September.
    20. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
    21. Jonathan B. Berk & Richard C. Green, 2004. "Mutual Fund Flows and Performance in Rational Markets," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1269-1295, December.
    22. Bui, Dien Giau & Chen, Yan-Shing & Hasan, Iftekhar & Lin, Chih-Yung, 2018. "Can lenders discern managerial ability from luck? Evidence from bank loan contracts," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 187-201.
    23. Jank, Stephan & Wedow, Michael, 2015. "Sturm und Drang in money market funds: When money market funds cease to be narrow," Journal of Financial Stability, Elsevier, vol. 16(C), pages 59-70.
    24. Zarutskie, Rebecca, 2010. "The role of top management team human capital in venture capital markets: Evidence from first-time funds," Journal of Business Venturing, Elsevier, vol. 25(1), pages 155-172, January.
    25. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    26. Travis Sapp, 2011. "The 52-week high, momentum, and predicting mutual fund returns," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 149-179, August.
    27. Collinet, Lance & Firer, Colin, 2003. "Characterising persistence of performance amongst South African general equity unit trusts," Omega, Elsevier, vol. 31(6), pages 523-538, December.
    28. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    29. Dan Bernhardt & Ryan J. Davies, 2009. "Smart fund managers? Stupid money?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(2), pages 719-748, May.
    30. Fletcher, Jonathan, 1999. "The evaluation of the performance of UK American unit trusts," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 455-466, November.
    31. Dimitrios Koutmos & Bochen Wu & Qi Zhang, 2020. "In search of winning mutual funds in the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 589-616, February.
    32. Lubos Pastor & Robert F. Stambaugh, "undated". "Evaluating and Investing in Equity Mutual Funds," CRSP working papers 516, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    33. Andrea Flori & Fabrizio Lillo & Fabio Pammolli & Alessandro Spelta, 2021. "Better to stay apart: asset commonality, bipartite network centrality, and investment strategies," Annals of Operations Research, Springer, vol. 299(1), pages 177-213, April.
    34. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
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    305. Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013. "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 29(C), pages 35-51.
    306. Do, Viet & Faff, Robert & Veeraraghavan, Madhu, 2010. "Performance persistence in hedge funds: Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 346-362, October.
    307. Berkowitz, Michael K. & Kotowitz, Yehuda, 2000. "Investor risk evaluation in the determination of management incentives in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 3(4), pages 365-387, November.
    308. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
    309. Vidal-García, Javier, 2013. "The persistence of European mutual fund performance," Research in International Business and Finance, Elsevier, vol. 28(C), pages 45-67.
    310. Paulo Armada Leite & Maria Ceu Cortez, 2009. "Conditioning information in mutual fund performance evaluation: Portuguese evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 585-605.
    311. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.
    312. Patricia Charléty, 2001. "La gestion institutionnelle : incitations données aux gérants et performances," Revue d'Économie Financière, Programme National Persée, vol. 63(3), pages 107-123.
    313. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.
    314. Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
    315. Flavio C. Sanematsu & Ricardo P. C. Leal, 2016. "Survivorship bias in Brazilian stock funds," Economics Bulletin, AccessEcon, vol. 36(2), pages 942-948.
    316. Li Xian Liu & Fuming Jiang & Jizhong Li & Omar Al Farooque, 2021. "Antecedents of Equity Fund Performance: A Contingency Perspective," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(01), pages 1-40, March.
    317. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
    318. Diacon, Stephen & Hasseldine, John, 2007. "Framing effects and risk perception: The effect of prior performance presentation format on investment fund choice," Journal of Economic Psychology, Elsevier, vol. 28(1), pages 31-52, January.

  5. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 2004. "Positive Portfolio Factors," Yale School of Management Working Papers ysm27, Yale School of Management.

    Cited by:

    1. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.

  6. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004. "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers ysm30, Yale School of Management.

    Cited by:

    1. Robert Pereira, 1999. "Forecasting Ability but No Profitability: an Empirical Evaluation of Genetic Algorithm-Optimized Technical Trading Rules," Working Papers 1999.06, School of Economics, La Trobe University.
    2. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
    3. Hassanniakalager, Arman & Sermpinis, Georgios & Stasinakis, Charalampos, 2021. "Trading the foreign exchange market with technical analysis and Bayesian Statistics," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 230-251.
    4. Senol Emir & Hasan Dincer & Umit Hacioglu & Serhat Yuksel, 2016. "Random Regression Forest Model using Technical Analysis Variables: An application on Turkish Banking Sector in Borsa Istanbul (BIST)," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 85-102, April.
    5. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    6. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
    7. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
    8. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    10. Po-Hsuan Hsu & Chung-Ming Kuan, 2004. "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research 04-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    11. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis.
    12. Suzuki, Tomoya & Ohkura, Yuushi, 2016. "Financial technical indicator based on chaotic bagging predictors for adaptive stock selection in Japanese and American markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 50-66.
    13. Huang, Jing-Zhi & Huang, Zhijian (James), 2020. "Testing moving average trading strategies on ETFs," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 16-32.
    14. Li, Wei & Lam, Kin, 2002. "Optimal market timing strategies under transaction costs," Omega, Elsevier, vol. 30(2), pages 97-108, April.
    15. Timmermann, Allan & Lunde, Asger, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
    16. Parul Bhatia & Priya Gupta, 2020. "Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices," FIIB Business Review, , vol. 9(4), pages 286-299, December.
    17. Luís Almeida & Elisabete Vieira, 2023. "Technical Analysis, Fundamental Analysis, and Ichimoku Dynamics: A Bibliometric Analysis," Risks, MDPI, vol. 11(8), pages 1-24, August.
    18. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
    19. Dimand, Robert W., 2023. "Irving Fisher, Ragnar Frisch and the Elusive Quest for Measurable Utility," SocArXiv vmzua, Center for Open Science.
    20. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
    21. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
    22. Eero P䴤ri & Mika Vilska, 2014. "Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2851-2872, August.
    23. Esteban Pérez Caldentey & Matías Vernengo, 2010. "Modern Finance, Methodology and the Global Crisis," Working Paper Series, Department of Economics, University of Utah 2010_04, University of Utah, Department of Economics.
    24. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    25. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
    26. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    27. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
    28. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    29. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
    30. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

  7. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc.

    Cited by:

    1. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    2. Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.
    3. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
    4. Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
    5. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    6. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
    7. Teresa Corzo Santamaría & Carlos Martinez de Ibarreta & Juan Rodriguez Calvo, 2018. "Timid performance fees in mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 64-77, January.
    8. Nadauld, Taylor & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2016. "The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions," Working Paper Series 2016-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    9. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    11. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    12. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
    13. Harris, Robert S. & Jenkinson, Tim & Kaplan, Steven N. & Stucke, Ruediger, 2018. "Financial intermediation in private equity: How well do funds of funds perform?," Journal of Financial Economics, Elsevier, vol. 129(2), pages 287-305.
    14. Zhe Chen & F. Douglas Foster & David R. Gallagher & Adrian D. Lee & Steven Cahan, 2015. "A model of emulation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 717-748, September.
    15. Michael Stein & Svetlozar T Rachev, 2011. "Style-neutral funds of funds: Diversification or deadweight?," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 417-434, February.
    16. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    17. Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
    18. Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2012. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (Ii)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(1), pages 5-20, March.
    19. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    20. Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
    21. Aleksandar Andonov & Roman Kräussl & Joshua Rauh, 2018. "The Subsidy to Infrastructure as an Asset Class," NBER Working Papers 25045, National Bureau of Economic Research, Inc.
    22. Han, Min-Yeon & Jun, Sang-Gyung & Oh, Ji Yeol Jimmy & Kang, Hyoung-Goo, 2023. "Who should choose the money managers? Institutional sponsors' equity manager performance," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    23. Sy, Wilson, 2010. "Cost, performance and portfolio composition of small pension funds in Australia," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 345-368, July.
    24. Alessandro Carretta & Gianluca Mattarocci, 2009. "Funds of Funds Portfolio Composition and its Impact on Performance: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 5, pages 69-88, Palgrave Macmillan.
    25. Adam L. Aiken & Christopher P. Clifford & Jesse Ellis, 2015. "The Value of Funds of Hedge Funds: Evidence from Their Holdings," Management Science, INFORMS, vol. 61(10), pages 2415-2429, October.
    26. Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015. "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, vol. 22(C), pages 73-103.
    27. Xiangyu Cui & Jianjun Gao & Yun Shi, 2021. "Multi-period mean–variance portfolio optimization with management fees," Operational Research, Springer, vol. 21(2), pages 1333-1354, June.
    28. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    29. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
    30. Zhe Chen & F Douglas Foster & David R Gallagher & Adrian D Lee, 2013. "Does portfolio emulation outperform its target funds?," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 401-427, August.
    31. Agarwal, Vikas & Nada, Vikram & Ray, Sugata, 2013. "Institutional investment and intermediation in the hedge fund industry," CFR Working Papers 13-03, University of Cologne, Centre for Financial Research (CFR).
    32. Marko Rikato & Ales Berk, 2015. "Costliness of Placement Agents," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(3), pages 263-287, December.
    33. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    34. Zeno Adams & Roland Füss & Volker Wohlschieß, 2012. "Investment choice and performance potential in the mutual fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 84-101, April.
    35. Bertin, William J. & Prather, Laurie, 2009. "Management structure and the performance of funds of mutual funds," Journal of Business Research, Elsevier, vol. 62(12), pages 1364-1369, December.
    36. Vikas Agarwal & Yan Lu & Sugata Ray, 2016. "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds," Management Science, INFORMS, vol. 62(3), pages 722-740, March.
    37. Simone Brands & David R. Gallagher, 2005. "Portfolio selection, diversification and fund‐of‐funds: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 185-197, July.

  8. Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.

    Cited by:

    1. Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013. "Market Response to Investor Sentiment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, September.
    2. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    3. Muhammad Zia Ur Rehman & Zain ul Abidin & Faisal Rizwan & Zaheer Abbas & Sajjad Ahmad Baig, 2017. "How investor sentiments spillover from developed countries to developing countries?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1309096-130, January.
    4. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
    5. William N. Goetzmann & Massimo Massa, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
    6. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia.
    7. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    8. William N. Goetzmann & Ning Zhu, 2004. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm28, Yale School of Management.
    9. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
    10. Erik Kole & Reza Brink, "undated". "Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance," Tinbergen Institute Discussion Papers 19-029/IV, Tinbergen Institute.
    11. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
    12. Muñoz, Fernando & Vicente, Ruth, 2018. "Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 181-193.
    13. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    14. Bathia, Deven & Bredin, Don, 2018. "Investor sentiment: Does it augment the performance of asset pricing models?," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 290-303.
    15. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2014. "Facebook's daily sentiment and international stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 730-743.
    16. Yang, Yan & Copeland, Laurence, 2014. "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers E2014/12, Cardiff University, Cardiff Business School, Economics Section.
    17. Massimo Massa & William Goetzmann, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm333, Yale School of Management, revised 01 Apr 2005.
    18. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
    19. Sanjay Sehgal & G. S. Sood & Namita Rajput, 2009. "Investor Sentiment in India: A Survey," Vision, , vol. 13(2), pages 13-23, April.
    20. Li, Yubin & Zhao, Chen & Zhong, Zhaodong (Ken), 2021. "Trading behavior of retail investors in derivatives markets: Evidence from Mini options," Journal of Banking & Finance, Elsevier, vol. 133(C).
    21. Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
    22. Andrea Frazzini & Owen A. Lamont, 2005. "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," NBER Working Papers 11526, National Bureau of Economic Research, Inc.
    23. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 319-334, December.
    24. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series 5932, CESifo.
    25. Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751, December.
    26. Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
    27. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2014. "Is cognitive bias really present in analyst forecasts? The role of investor sentiment," International Business Review, Elsevier, vol. 23(4), pages 824-837.
    28. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
    29. French, Joseph J. & Li, Wei-Xuan, 2017. "Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 816-831.
    30. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    31. Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
    32. Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
    33. Arthur Charpentier & Emilios C. C Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
    34. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
    35. Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov, 2009. "Risk Aversion and Clientele Effects," NBER Working Papers 15333, National Bureau of Economic Research, Inc.
    36. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
    37. Jiang, Xiong-Fei & Xiong, Long & Cen, Tao & Bai, Ling & Zhao, Na & Zhang, Jiu & Zheng, Chang-Juan & Jiang, Tian-Ying, 2022. "Analyst sentiment and earning forecast bias in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    38. Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
    39. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    40. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    41. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    42. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
    43. Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
    44. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
    45. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
    46. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
    47. David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
    48. Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society.
    49. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 117-121.

  9. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm306, Yale School of Management.

    Cited by:

    1. Hiraki, Takato & Ito, Akitoshi, 2009. "Investor biases in Japan: Another pathology of Keiretsu," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 100-124, January.

  10. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc.

    Cited by:

    1. Colino, Evelyn V. & Cabrini, Silvina M. & Aulerich, Nicole M. & Brandenberger, Tracy L. & Merrin, Robert P. & Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2006. "Advisory Service Marketing Profiles for Soybeans over 2002-2004," AgMAS Project Research Reports 37485, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    2. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004. "Advisory Service Marketing Profiles for Corn in 2001," AgMAS Project Research Reports 37493, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    3. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Joao, Martines-Filho, 2004. "Advisory Service Marketing Profiles for Soybeans in 2001," AgMAS Project Research Reports 37507, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    4. Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    5. Roman Tancar & Jan Viebig, 2008. "Alternative beta applied—an introduction to hedge fund replication," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(3), pages 259-279, September.
    6. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    7. Batts, Ryan M. & Brandenberger, Tracy L. & Irwin, Scott H. & Good, Darrel L., 2009. "Advisory Service Marketing Profiles for Soft Red Winter Wheat over 1995-2004," AgMAS Project Research Reports 183427, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    8. Martines-Filho, Joao Gomes & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Rick L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Soybeans Over 1995-2000," AgMAS Project Research Reports 14791, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    9. Klerkx, Rik & Pelsser, Antoon, 2022. "Narrative-based robust stochastic optimization," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 266-277.
    10. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    11. Menzie D. Chinn & Hiro Ito, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," NBER Working Papers 11370, National Bureau of Economic Research, Inc.
    12. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    13. Martines-Filho, Joao Gomes & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Rick L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Corn Over 1995-2000," AgMAS Project Research Reports 14776, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    14. Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
    15. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    16. Brown, Stephen J., 2001. "Hedge funds: Omniscient or just plain wrong," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 301-311, August.
    17. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    18. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc.
    19. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
    20. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
    21. Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik [Classifying Hedge Funds u," MPRA Paper 16939, University Library of Munich, Germany.
    22. Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005. "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(3), pages 493-517, September.
    23. Batts, Ryan M. & Brandenberger, Tracy L. & Irwin, Scott H. & Good, Darrel L., 2009. "Advisory Service Marketing Profiles for Hard Red Winter Wheat over 1995-2004," AgMAS Project Research Reports 183428, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    24. Freed, Marc S & McMillan, Ben, 2011. "Investible benchmarks & hedge fund liquidity," MPRA Paper 32226, University Library of Munich, Germany.
    25. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    26. Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002. "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Other publications TiSEM 72ffd5bf-9650-4afe-9804-7, Tilburg University, School of Economics and Management.
    27. Ito, Hiro, 2006. "Financial development and financial liberalization in Asia: Thresholds, institutions and the sequence of liberalization," The North American Journal of Economics and Finance, Elsevier, vol. 17(3), pages 303-327, December.
    28. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    29. Sevinc Cukurova & Jose M. Marin, 2011. "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers 2011-04, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    30. Braun, Reiner & Jenkinson, Tim & Schemmerl, Christoph, 2020. "Adverse selection and the performance of private equity co-investments," Journal of Financial Economics, Elsevier, vol. 136(1), pages 44-62.
    31. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    32. Colino, Evelyn V. & Cabrini, Silvina M. & Aulerich, Nicole M. & Brandenberger, Tracy L. & Merrin, Robert P. & Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2006. "Advisory Service Marketing Profiles for Corn over 2002-2004," AgMAS Project Research Reports 37484, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    33. Cécile Moigne & Patrick Savaria, 2006. "Relative importance of hedge fund characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 419-441, December.

  11. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.

    Cited by:

    1. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    2. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    4. Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, University of Reading, revised Jan 2002.
    5. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.
    6. Francisca Richter & B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 115-125.
    7. Nicole Boyson & Robert Mooradian, 2011. "Corporate governance and hedge fund activism," Review of Derivatives Research, Springer, vol. 14(2), pages 169-204, July.
    8. Thomas Gimbel & Francis Gupta & Dan Pines, 2004. "Entry & Exit: The Lifecyle of a Hedge Fund," Industrial Organization 0407002, University Library of Munich, Germany.

  12. Stephen J. Brown & William N. Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," NBER Working Papers 6427, National Bureau of Economic Research, Inc.

    Cited by:

    1. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.
    2. Merrick, John J. & Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze," CFR Working Papers 04-07, University of Cologne, Centre for Financial Research (CFR).
    3. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    4. Eli M Remolona & Benjamin H. Cohen, 2000. "Information flows during the asian crisis: evidence from closed-end funds," BIS Working Papers 97, Bank for International Settlements.
    5. Massimo Massa & William Goetzmann, 2000. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm134, Yale School of Management, revised 01 Apr 2001.
    6. Palaskas Theodosios & Stoforos Chrysostomos & Drakatos Costantinos, 2013. "Hedge Funds Development and their Role in Economic Crises," Scientific Annals of Economics and Business, Sciendo, vol. 60(1), pages 168-181, July.
    7. Holt, Bryce R. & Irwin, Scott H., 2000. "The Effects Of Futures Trading By Large Hedge Funds And Ctas On Market Volatility," 2000 Conference, April 17-18 2000, Chicago, Illinois 18935, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    9. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm273, Yale School of Management.
    11. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 1-36, May.
    12. C. Y. Cyrus Chu & Jason J. H. Yeh, 2005. "Insuring Against Self-Fulfilling Financial Crises," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(2), pages 123-139, August.
    13. Sameen Fatima & Christopher Gan & Baiding Hu, 2022. "Volatility Spillovers between Stock Market and Hedge Funds: Evidence from Asia Pacific Region," JRFM, MDPI, vol. 15(9), pages 1-39, September.
    14. Izabela Pruchnicka-Grabias, 2014. "The Influence Of Confidence Level, Correlation And Volatility On Value At Risk. Six Case Studies," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 10, pages 565-581.
    15. Jomo K.S., 2005. "Malaysia´S September 1998 Controls: Background, Context, Impacts, Comparisons, Implications, Lessons," G-24 Discussion Papers 36, United Nations Conference on Trade and Development.
    16. Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
    17. Bank for International Settlements, 2001. "Market liquidity: proceedings of a workshop held at the BIS," BIS Papers, Bank for International Settlements, number 02.
    18. Robotti, Paola, 2006. "Hedge funds and financial stability: explaining the debate at the financial stability forum," LSE Research Online Documents on Economics 24514, London School of Economics and Political Science, LSE Library.
    19. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    20. Jan A. Kregel, 1998. "Derivatives and Global Capital Flows: Applications to Asia," Economics Working Paper Archive wp_246, Levy Economics Institute.
    21. Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany.
    22. Marguerite Schneider & Lori Ryan, 2011. "A review of hedge funds and their investor activism: do they help or hurt other equity investors?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 15(3), pages 349-374, August.
    23. Mehrpouya, Afshin & Salles-Djelic, Marie-Laure, 2019. "Seeing like the market; exploring the mutual rise of transparency and accounting in transnational economic and market governance," Accounting, Organizations and Society, Elsevier, vol. 76(C), pages 12-31.

  13. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.

    Cited by:

    1. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
    2. Mercedes Alda, 2021. "The dilemma between fund‐style consistency and active management over the economic cycle. Evidence from pension funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2219-2240, April.
    3. Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
    4. Jerry Parwada & Robert Faff, 2005. "Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(1), pages 77-98, February.
    5. Matvos, Gregor & Ostrovsky, Michael, 2006. "Strategic Proxy Voting," Research Papers 1964, Stanford University, Graduate School of Business.
    6. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2016. "Style Analysis with Particle Filtering and Generalized Simulated Annealing," CIRJE F-Series CIRJE-F-1010, CIRJE, Faculty of Economics, University of Tokyo.
    7. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
    8. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "Transaction-cost Expenditures and the Relative Performance of Mutual Funds," Center for Financial Institutions Working Papers 00-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
    10. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Improved Forecasting of Mutual Fund Alphas and Betas," Yale School of Management Working Papers amz2361, Yale School of Management, revised 01 Mar 2006.
    11. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "Style analysis with particle filtering and generalized simulated annealing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    12. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm177, Yale School of Management.
    13. Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 47-66, March.
    14. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    15. Akaninyene Billy Orok & Enya Gabriel Emori & Itoro Moses Ikoh, 2019. "Collective Investment Fund: An Imperative For The Growth Of The Nigerian Capital Market," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 4(4), pages 34-46, April.
    16. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex," CARF F-Series CARF-F-383, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    17. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
    18. Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.
    19. Rajna Gibson & Sébastien Gyger, 2007. "The Style Consistency of Hedge Funds," European Financial Management, European Financial Management Association, vol. 13(2), pages 287-308, March.
    20. Carl Ackermann & Tim Loughran, 2007. "Mutual Fund Incubation and the Role of the Securities and Exchange Commission," Journal of Business Ethics, Springer, vol. 70(1), pages 33-37, January.
    21. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
    22. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
    23. Stephen Brown & William Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," Yale School of Management Working Papers ysm87, Yale School of Management, revised 01 Apr 2008.
    24. Doyle, Joanne & Eades, Kenneth & Marshall, Brooks, 2021. "Estimating the effect of active management and private equity for defined benefit pension funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 161-169.
    25. Galla Salganik-Shoshan, 2016. "Investment flows: Retail versus institutional mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(1), pages 34-44, January.
    26. Vipul Satone & Dhruv Desai & Dhagash Mehta, 2021. "Fund2Vec: Mutual Funds Similarity using Graph Learning," Papers 2106.12987, arXiv.org.
    27. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
    28. Karen Ruckman, 2003. "Expense ratios of North American mutual funds," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(1), pages 192-223, March.
    29. Ramin Baghai‐Wadji & Rami El‐Berry & Stefan Klocker & Markus Schwaiger, 2006. "Changing investment styles: style creep and style gaming in the hedge fund industry," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 14(4), pages 157-177, October.
    30. Cheng Few Lee, 2020. "Financial econometrics, mathematics, statistics, and financial technology: an overall view," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1529-1578, May.
    31. Larrymore, Norris L. & Rodriguez, Javier, 2007. "Active fund management: Global asset allocation funds," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 244-256, July.
    32. Matvos, Gregor & Ostrovsky, Michael, 2010. "Heterogeneity and peer effects in mutual fund proxy voting," Journal of Financial Economics, Elsevier, vol. 98(1), pages 90-112, October.
    33. de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000. "Evaluating Style Analysis," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.
    34. DeLong, Gayle L., 2001. "Stockholder gains from focusing versus diversifying bank mergers," Journal of Financial Economics, Elsevier, vol. 59(2), pages 221-252, February.
    35. Najand, Mohammad & Prather, Larry J., 1999. "The risk level discriminatory power of mutual fund investment objectives: Additional evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 307-328, August.
    36. Zabiulla, 2012. "Macro Forecasting Abilities of Mutual Fund Managers in the Indian Capital Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 3(2), pages 06-11, May.
    37. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
    38. Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
    39. Kim, Moon & Shukla, Ravi & Tomas, Michael, 2000. "Mutual fund objective misclassification," Journal of Economics and Business, Elsevier, vol. 52(4), pages 309-323.
    40. Francesco Franzoni & J. M. Marin, 2006. "Portable Alphas from Pension Mispricing," Post-Print halshs-00119546, HAL.
    41. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research.
    42. Dhagash Mehta & Dhruv Desai & Jithin Pradeep, 2020. "Machine Learning Fund Categorizations," Papers 2006.00123, arXiv.org.
    43. Sudipta Das, 2019. "Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 339-354, September.
    44. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 315-343.
    45. Huaizhi Chen & Lauren Cohen & Umit G. Gurun, 2021. "Don't Take Their Word for It: The Misclassification of Bond Mutual Funds," Journal of Finance, American Finance Association, vol. 76(4), pages 1699-1730, August.
    46. Massa, Massimo & chuprinin, oleg & Gaspar, Sérgio, 2016. "Adjusting to The Information Environment: News Tangibility and Mutual Fund Performance," CEPR Discussion Papers 11473, C.E.P.R. Discussion Papers.
    47. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Evaluating Style Analysis," ERIM Report Series Research in Management ERS-2000-11-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    48. Joe-Ming Lee & Ku-Hsieh Chen & Jying-Nan Wang, 2016. "The Relation Between Bond Fund Investor Flows And Volatility," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(05), pages 1-13, December.
    49. Olaf Stotz, 2009. "Predicting returns of equity mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 10(3), pages 158-169, August.
    50. Françoise Le Quéré, 2010. "L’habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 275-293.
    51. Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010. "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," University of St. Gallen Department of Economics working paper series 2010 2010-20, Department of Economics, University of St. Gallen.
    52. Takao Kobayashi & Seisho Sato & Akihiko Takahashi, 2005. "Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)," CARF F-Series CARF-F-032, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    53. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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    84. Roberto Savona, 2006. "Tax‐induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(2), pages 173-202, July.
    85. Peng, Hongfeng & Zhang, Zhenqi & Goodell, John W. & Li, Mingsheng, 2023. "Socially responsible investing: Is it for real or just for show?," International Review of Financial Analysis, Elsevier, vol. 86(C).
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    91. Gorovyy, Sergiy & Kelly, Patrick J. & Kuzmina, Olga, 2021. "Does secrecy signal skill? Own-investor secrecy and hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 133(C).
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    99. Andy Fodor & Randy D. Jorgensen & John D. Stowe, 2021. "Financial clusters, industry groups, and stock return correlations," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 121-144, April.
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    104. Perez Katarzyna & Szczyt Małgorzata, 2021. "Classification of Open-End Investment Funds Using Artificial Neural Networks. The Case of Polish Equity Funds," Central European Economic Journal, Sciendo, vol. 8(55), pages 269-284, January.
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  14. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-012, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
    2. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
    3. Hiraki, Takato & Ito, Akitoshi, 2009. "Investor biases in Japan: Another pathology of Keiretsu," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 100-124, January.
    4. Oh, Natalie Y. & Parwada, Jerry T., 2007. "Relations between mutual fund flows and stock market returns in Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 140-151, April.
    5. Daniel Capocci, 2002. "An Analysis of Hedge Fund Performance," Finance 0210001, University Library of Munich, Germany.
    6. Tanaka, Hiroatsu & Baba, Naohiko, 2004. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 91-121, March.
    7. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
    8. Anchada Charoenrook & Pantisa Pavabutr, 2017. "A Window into Thai Mutual Fund Managers’ Perception and Decision-Making Process," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-43, September.
    9. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    10. Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
    11. Khorana, Ajay & Servaes, Henri & Tufano, Peter, 2005. "Explaining the size of the mutual fund industry around the world," Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.

  15. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," NBER Working Papers 5909, National Bureau of Economic Research, Inc.

    Cited by:

    1. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    2. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    3. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm177, Yale School of Management.
    4. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
    5. Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008. "Is There Hedge Fund Contagion?," Working Papers 08-2, University of Pennsylvania, Wharton School, Weiss Center.
    6. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
    7. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    8. Harry. M Kat & Faye Menexe, 2002. "Persistence in Hedge Fund Performance: The True Value of a Track Record," ICMA Centre Discussion Papers in Finance icma-dp2002-13, Henley Business School, University of Reading.
    9. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    10. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes & Batts, Ryan M., 2006. "The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2004," AgMAS Project Research Reports 37513, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    11. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

Articles

  1. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O. & Celiker, Umut, 2021. "Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(6), pages 2136-2169, September.

    Cited by:

    1. Magni, Carlo Alberto & Marchioni, Andrea & Baschieri, Davide, 2023. "The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement," European Journal of Operational Research, Elsevier, vol. 306(2), pages 872-892.

  2. Brown, Stephen & Dutordoir, Marie & Veld, Chris & Veld-Merkoulova, Yulia, 2019. "What is the role of institutional investors in corporate capital structure decisions? A survey analysis," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 270-286.

    Cited by:

    1. He, Xiaoxiao & Liu, Cai, 2023. "Monitoring attention of institutional investors and trade credit financing," Finance Research Letters, Elsevier, vol. 55(PB).
    2. Garel, Alexandre & Petit-Romec, Arthur & Vennet, Rudi Vander, 2022. "Institutional Shareholders and Bank Capital," Journal of Financial Intermediation, Elsevier, vol. 50(C).
    3. Albert Danso & Samuel Fosu & Samuel Owusu‐Agyei & Collins G. Ntim & Emmanuel Adegbite, 2021. "Capital structure revisited. Do crisis and competition matter in a Keiretsu corporate structure?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5073-5092, October.
    4. Sangiorgi, Ivan & Schopohl, Lisa, 2023. "Explaining green bond issuance using survey evidence: Beyond the greenium," The British Accounting Review, Elsevier, vol. 55(1).
    5. Joachim Rojahn & Florian Zechser, 2022. "Ownership concentration, ownership identity and seasoned equity offerings probabilities: Evidence from Germany," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(1-2), pages 274-296, January.
    6. Theodora Bermpei & Antonios Nikolaos Kalyvas & Lorenzo Neri & Antonella Russo, 2022. "Does economic policy uncertainty matter for financial reporting quality? Evidence from the United States," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 795-845, February.
    7. Chemmanur, Thomas J. & Hu, Gang & Wei, K.C. John, 2021. "The role of institutional investors in corporate and entrepreneurial finance," Journal of Corporate Finance, Elsevier, vol. 66(C).
    8. Zongwu Cai & Meng Shi & Yue Zhao & Wuqing Wu, 2020. "Testing Financial Hierarchy Based on A PDQ-CRE Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202011, University of Kansas, Department of Economics, revised Jul 2020.
    9. Du, Zhihui & Zheng, Xiaojia & Zhang, Chenye & Zhou, Rongxi, 2023. "Does the online interaction between retail investors and firm management affect capital structure?," Finance Research Letters, Elsevier, vol. 55(PA).
    10. Dutordoir, Marie & Merkoulova, Yulia & Veld, Chris, 2022. "How do investors perceive convertible bond issuing decisions?," Finance Research Letters, Elsevier, vol. 44(C).

  3. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.

    Cited by:

    1. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
    2. Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022. "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, vol. 44(C).
    3. George O. Aragon & Ji-Woong Chung & Byoung Uk Kang, 2023. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?," Management Science, INFORMS, vol. 69(8), pages 4932-4952, August.
    4. Ekaterini Panopoulou & Nikolaos Voukelatos, 2022. "Should hedge funds deviate from the benchmark?," Financial Management, Financial Management Association International, vol. 51(3), pages 767-795, September.
    5. Gupta, Nilesh & Mishra, Anil V & Jacob, Joshy, 2022. "Prospect theory preferences and global mutual fund flows," Journal of International Money and Finance, Elsevier, vol. 125(C).

  4. Stephen Brown & Yan Lu & Sugata Ray & Melvyn Teo, 2018. "Sensation Seeking and Hedge Funds," Journal of Finance, American Finance Association, vol. 73(6), pages 2871-2914, December.

    Cited by:

    1. Licht, Amir N. & Adams, Renee B., 2020. "Shareholders and Stakeholders around the World: The Role of Values, Culture, and Law in Directors' Decisions," LawFin Working Paper Series 13, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    2. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    3. Liu, Hongqi & Peng, Cameron & Wei, Xiong & Wei, Xiong, 2022. "Taming the bias zoo," LSE Research Online Documents on Economics 109301, London School of Economics and Political Science, LSE Library.
    4. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
    5. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
    6. Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    7. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    8. Li, Jiangyuan & Liu, Bo & Yang, Jinqiang & Zou, Zhentao, 2020. "Hedge fund’s dynamic leverage decisions under time-inconsistent preferences," European Journal of Operational Research, Elsevier, vol. 284(2), pages 779-791.
    9. Sean Cleary & Jonathan Jona & Gladys Lee & Joshua Shemesh, 2020. "Underlying risk preferences and analyst risk‐taking behavior," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(7-8), pages 949-981, July.
    10. Agarwal, Vikas & Cochardt, Alexander Elmar & Orlov, Vitaly, 2022. "Birth order and fund manager's trading behavior: Role of sibling rivalry," CFR Working Papers 22-12, University of Cologne, Centre for Financial Research (CFR).
    11. Lee, Suin & Pantzalis, Christos & Park, Jung Chul, 2019. "Does local culture trigger speculative investment behavior?," Journal of Business Research, Elsevier, vol. 103(C), pages 71-88.
    12. Clark Liu & Johan Sulaeman & Tao Shu & P Eric Yeung, 2023. "Life is Too Short? Bereaved Managers and Investment Decisions," Review of Finance, European Finance Association, vol. 27(4), pages 1373-1421.
    13. Dai, Na & Nahata, Rajarishi & Brauner, Aaron, 2022. "Does individualism matter for hedge funds? A cross-country examination," Journal of Corporate Finance, Elsevier, vol. 72(C).
    14. Lu, Yan & Mortal, Sandra & Ray, Sugata, 2022. "Hedge fund hold ’em," Journal of Financial Markets, Elsevier, vol. 57(C).
    15. Luo, Deqing & Wu, Xiaoping & Xu, Jiawen & Yan, Jingzhou, 2022. "Robust leverage decision under locked wealth and high-water mark contract," Finance Research Letters, Elsevier, vol. 46(PB).
    16. Dayani, Arash & Jannati, Sima, 2022. "Running a mutual fund: Performance and trading behavior of runner managers," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 43-62.
    17. Mao, Mike Qinghao & Wong, Ching Hin, 2022. "Managerial commitment and heterogeneity in target-date funds," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 1-19.
    18. Freund, Steven & Kovacs, Tunde & Nguyen, Nam H. & Phan, Hieu V., 2023. "CEO personality traits and debt contracting: Evidence from pilot CEOs," International Review of Financial Analysis, Elsevier, vol. 85(C).
    19. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    20. Demir, Tolga & Mohammadi, Ali & Shafi, Kourosh, 2022. "Crowdfunding as gambling: Evidence from repeated natural experiments," Journal of Corporate Finance, Elsevier, vol. 77(C).
    21. Yonatan Shertzer & Yael Brender-Ilan, 2023. "Why Do Leaders Escalate Their Commitment to a Failed Course of Action? A Moderated-Mediation Personality Traits Model," SAGE Open, , vol. 13(1), pages 21582440231, February.
    22. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    23. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2020. "Resolving the excessive trading puzzle: an integrated approach based on surveys and transactions," LSE Research Online Documents on Economics 118870, London School of Economics and Political Science, LSE Library.
    24. Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020. "Taming the Bias Zoo," NBER Working Papers 26911, National Bureau of Economic Research, Inc.
    25. Liu, Chang & Sun, Peng & Zhu, Dongming, 2023. "Lottery preference, short-sale constraint, and the salience effect: Evidence from China," Economic Modelling, Elsevier, vol. 125(C).

  5. Brown, Stephen J. & Sotes-Paladino, Juan & Wang, Jiaguo(George) & Yao, Yaqiong, 2017. "Starting on the wrong foot: Seasonality in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 133-150.

    Cited by:

    1. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
    2. Daniel Hofmann & Karl Ludwig Keiber, 2021. "Seasonalities in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 151-192, June.
    3. Cici, Gjergji & Hendriock, Mario & Kempf, Alexander, 2018. "The impact of labor mobility restrictions on managerial actions: Evidence from the mutual fund industry," CFR Working Papers 18-01, University of Cologne, Centre for Financial Research (CFR).
    4. Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.

  6. Bali, Turan G. & Brown, Stephen J. & Murray, Scott & Tang, Yi, 2017. "A Lottery-Demand-Based Explanation of the Beta Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2369-2397, December.

    Cited by:

    1. Cox, Ruben & Kamolsareeratana, Atcha & Kouwenberg, Roy, 2020. "Compulsive gambling in the financial markets: Evidence from two investor surveys," Journal of Banking & Finance, Elsevier, vol. 111(C).
    2. Mei-Chen Lin & J. Jimmy Yang, 2023. "Do lottery characteristics matter for analysts’ forecast behavior?," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1057-1091, October.
    3. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
    5. Huang, Shiyang & Liu, Xin & Lou, Dong & Polk, Christopher, 2023. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 120807, London School of Economics and Political Science, LSE Library.
    6. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
    7. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    8. Baars, Maren & Mohrschladt, Hannes, 2021. "An alternative behavioral explanation for the MAX effect," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 868-886.
    9. González-Urteaga, Ana & Rubio, Gonzalo, 2021. "The quality premium with leverage and liquidity constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
    10. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    11. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    12. Nguyen, Hung T. & Truong, Cameron, 2018. "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, vol. 41(C), pages 92-116.
    13. Barinov, Alexander, 2023. "Profitability anomaly and aggregate volatility risk," Journal of Financial Markets, Elsevier, vol. 64(C).
    14. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    15. Mabekebeke Segojane & Godfrey Ndlovu, 2022. "An Investigation of the Beta Anomaly in Emerging Markets: A South African Case," JRFM, MDPI, vol. 15(5), pages 1-18, May.
    16. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    17. Lee, Eun Jung & Lee, Yu Kyung & Kim, Ryumi, 2022. "Investor attention and the risk-return trade-off," Finance Research Letters, Elsevier, vol. 47(PA).
    18. Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
    19. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    20. Neophytos Lambertides, 2022. "Misvaluation and the Asset Growth Anomaly," Abacus, Accounting Foundation, University of Sydney, vol. 58(1), pages 105-141, March.
    21. Akhtaruzzaman, Md & Chiah, Mardy & Docherty, Paul & Zhong, Angel, 2021. "Betting against bank profitability," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 304-323.
    22. Parnes, Dror, 2020. "Exploring economic anomalies in the S&P500 index," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 292-309.
    23. Lee, Kuan-Hui & Yang, Cheol-Won, 2022. "The world price of tail risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    24. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
    25. Kwon, Kyung Yoon & Min, Byoung-Kyu & Sun, Chenfei, 2022. "Enhancing the profitability of lottery strategies," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 166-184.
    26. Pham, Anh Viet, 2019. "Political risk and cost of equity: The mediating role of political connections," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 64-87.
    27. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
    28. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
    29. Liu Yang & Qing Zhou, 2021. "Leverage constraints and corporate financing decisions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5199-5230, December.
    30. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    31. Insana, Alessandra, 2023. "Betting against beta with intraday and overnight signals," International Review of Financial Analysis, Elsevier, vol. 86(C).
    32. Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
    33. Hu, Conghui & Lin, Ji-Chai & Liu, Yu-Jane, 2022. "What are the benefits of attracting gambling investors? Evidence from stock splits in China," Journal of Corporate Finance, Elsevier, vol. 74(C).
    34. Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
    35. Robert A. Jarrow & Rinald Murataj & Martin T. Wells & Liao Zhu, 2023. "The Low-Volatility Anomaly And The Adaptive Multi-Factor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(04n05), pages 1-33, August.
    36. Vinod Kumar, 2023. "Is the Beta Anomaly Real? A Correction in Existing Theories of Cost of Capital and Asset Pricing," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(2), pages 135-163, June.
    37. Doina C. Chichernea & Haimanot Kassa & Steve L. Slezak, 2019. "Lottery preferences and the idiosyncratic volatility puzzle," European Financial Management, European Financial Management Association, vol. 25(3), pages 655-683, June.
    38. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
    39. Del Viva, Luca & Kasanen, Eero & Saunders, Anthony & Trigeorgis, Lenos, 2021. "US government TARP bailout and bank lottery behavior," Journal of Corporate Finance, Elsevier, vol. 66(C).
    40. Lee, Seunghyup, 2022. "Political orientation and compensation for idiosyncratic risk," Economics Letters, Elsevier, vol. 218(C).
    41. Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021. "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1262-1284.
    42. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    43. Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    44. Zhang, Qun & Zhang, Peihui & Liu, Hao, 2023. "Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
    45. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
    46. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    47. Frömmel, Michael & Han, Xing & Li, Youwei & Vigne, Samuel A., 2022. "Low liquidity beta anomaly in China," Emerging Markets Review, Elsevier, vol. 50(C).
    48. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    49. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    50. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    51. Lee, Kangsan & Jeong, Daeyoung, 2023. "Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies," Journal of International Money and Finance, Elsevier, vol. 133(C).
    52. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
    53. Sehgal, Sanjay & Rakhyani, Sarika & Deisting, Florent, 2022. "Does betting against beta strategy work in major Asian Markets?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    54. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
    55. Zhao, Lu & Lin, Lei, 2022. "Does behavioral-motivated volatility effect explain the beta anomaly? Evidence from China," Finance Research Letters, Elsevier, vol. 46(PA).
    56. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
    57. Hung, Weifeng & Yang, J. Jimmy, 2018. "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 41(C), pages 77-91.
    58. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
    59. Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020. "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 138(3), pages 789-817.
    60. Junjun Ma & Xindan Li & Lei Lu & Weixing Wu & Xiong Xiong, 2022. "Individual investors' dispersion in beliefs and stock returns," Financial Management, Financial Management Association International, vol. 51(3), pages 929-953, September.
    61. Prateek Sharma & Samit Paul, 2021. "Game of names: Blockchain premium in corporate names," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(5), pages 1059-1078, July.
    62. Jianfu Shen & Eddie C.M. Hui & Kwokyuen Fan, 2021. "The Beta Anomaly in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 414-436, October.
    63. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    64. Xing Han & Zheyao Pan, 2021. "Correlation and the omitted variable: A tale of two prices," Financial Management, Financial Management Association International, vol. 50(2), pages 519-552, June.
    65. de Castro, Jessica & Piccoli, Pedro, 2023. "Do online searches actually measure future retail investor trades?," International Review of Financial Analysis, Elsevier, vol. 86(C).
    66. Haotian Xu & Wei Wei, 2020. "The Market Reaction of Bonus Shares Issuing and the Lottery-like Stock Preference: Evidence from Chinese Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-5.
    67. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    68. Tsai, Chia-Fen & Chang, Jung-Hsien & Tsai, Feng-Tse, 2021. "Lottery preferences and retail short selling," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    69. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    70. Ang, Tze Chuan 'Chewie' & Azad, A.S.M. Sohel & Pham, Thu A.T. & Zhong, Angel, 2021. "Firm efficiency and stock returns: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 78(C).
    71. Bi, Jia & Gui, Pingshu & Zhu, Yifeng, 2022. "Large transactions and the MAX effect: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    72. Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019. "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 93-110.
    73. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    74. Thanh Huong Nguyen, 2019. "Information and Noise in Stock Markets: Evidence on the Determinants and Effects Using New Empirical Measures," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 7-2019.
    75. Kelley Bergsma & Jitendra Tayal, 2019. "Short Interest and Lottery Stocks," Financial Management, Financial Management Association International, vol. 48(1), pages 187-227, March.
    76. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
    77. Lovreta, Lidija & Silaghi, Florina, 2020. "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, vol. 112(C).
    78. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    79. David Blitz & Matthias X. Hanauer & Pim Vliet, 2021. "The Volatility Effect in China," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 338-349, September.
    80. Cynthia M. Gong & Di Luo & Huainan Zhao, 2021. "Liquidity risk and the beta premium," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 789-814, December.
    81. Hu, Shiyang & Xiang, Cheng & Quan, Xiaofeng, 2023. "Salience theory and mutual fund flows: Empirical evidence from China," Emerging Markets Review, Elsevier, vol. 54(C).
    82. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
    83. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
    84. Andreas Oehler & Julian Schneider, 2023. "Social trading: do signal providers trigger gambling?," Review of Managerial Science, Springer, vol. 17(4), pages 1269-1331, May.
    85. Jacobs, Heiko, 2020. "Hype or help? Journalists’ perceptions of mispriced stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 550-565.
    86. Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.

  7. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.

    Cited by:

    1. Lei Lin & Jing Tan & Wenzhen Liu, 2022. "Does monetary policy uncertainty command a risk premium in the Chinese stock market?," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 433-452, September.
    2. Mazumder, Sharif & Saha, Pritam, 2021. "COVID-19: Fear of pandemic and short-term IPO performance," Finance Research Letters, Elsevier, vol. 43(C).
    3. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
    4. Chan, Yue-Cheong & Saffar, Walid & Wei, K.C. John, 2021. "How economic policy uncertainty affects the cost of raising equity capital: Evidence from seasoned equity offerings," Journal of Financial Stability, Elsevier, vol. 53(C).
    5. Ali Ozdagli & Mihail Velikov, 2016. "Show me the money: the monetary policy risk premium," Working Papers 16-27, Federal Reserve Bank of Boston.
    6. Chen, Xiaoyu & Chiang, Thomas C., 2020. "Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market," Research in International Business and Finance, Elsevier, vol. 53(C).
    7. González-Sánchez, Mariano & Nave, Juan & Rubio, Gonzalo, 2020. "Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity," Research in International Business and Finance, Elsevier, vol. 53(C).
    8. Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    9. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    10. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
    11. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
    12. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
    13. Nguyen, Hung T. & Truong, Cameron, 2018. "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, vol. 41(C), pages 92-116.
    14. Ming Gu & Minxing Sun & Yangru Wu & Weike Xu, 2021. "Economic policy uncertainty and momentum," Financial Management, Financial Management Association International, vol. 50(1), pages 237-259, March.
    15. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    16. Wei, Xin & Liu, Xi & Zhang, Xueyong, 2022. "Shadow banking and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    17. Lee, Deok-Hyeon & Min, Byoung-Kyu & Kim, Tong Suk, 2019. "Dispersion of beliefs, ambiguity, and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 43-56.
    18. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    19. Onali, Enrico & Mascia, Danilo V., 2022. "Corporate diversification and stock risk: Evidence from a global shock," Journal of Corporate Finance, Elsevier, vol. 72(C).
    20. Julia Darby & Jun Gao & Siobhan Lucey & Sheng Zhu, 2019. "Is heightened political uncertainty priced in stock returns? Evidence from the 2014 Scottish independence referendum," Working Papers 1913, University of Strathclyde Business School, Department of Economics.
    21. Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
    22. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    23. Lee, Kiryoung, 2022. "Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020," Finance Research Letters, Elsevier, vol. 48(C).
    24. Yin, Hong & Chang, Long & Wang, Shu, 2023. "The impact of China's economic uncertainty on commodity and financial markets," Resources Policy, Elsevier, vol. 84(C).
    25. Samuel YM Ze‐To, 2022. "Fundamental index aligned and excess market return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 592-614, April.
    26. Treepongkaruna, Sirimon & Chan, Kam Fong & Malik, Ihtisham, 2023. "Climate policy uncertainty and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 55(PA).
    27. Federico Esposito & Marcelo Bianconi & Marco Sammon, 2020. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0834, Department of Economics, Tufts University.
    28. Simon Rudkin & Wanling Qiu & Pawel Dlotko, 2021. "Uncertainty, volatility and the persistence norms of financial time series," Papers 2110.00098, arXiv.org.
    29. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    30. Taylor, Mark & Filippou, Ilias & Gozluklu, Arie & Nguyen, My, 2020. "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers 15054, C.E.P.R. Discussion Papers.
    31. Pham, Anh Viet, 2019. "Political risk and cost of equity: The mediating role of political connections," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 64-87.
    32. Reboredo, Juan C. & Ugolini, Andrea, 2022. "Climate transition risk, profitability and stock prices," International Review of Financial Analysis, Elsevier, vol. 83(C).
    33. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
    34. Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
    35. Peng, Daoju & Colak, Gonul & Shen, Jianfu, 2023. "Lean against the wind: The effect of policy uncertainty on a firm's corporate social responsibility strategy," Journal of Corporate Finance, Elsevier, vol. 79(C).
    36. Cheng, Feiyang & Wang, Chunfeng & Cui, Xin & Wu, Ji & He, Feng, 2021. "Economic policy uncertainty exposure and stock price bubbles: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
    37. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    38. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
    39. Mihai, Marius M., 2022. "The commercial bank leverage factor in U.S. asset prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 156-171.
    40. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
    41. Doina C. Chichernea & Haimanot Kassa & Steve L. Slezak, 2019. "Lottery preferences and the idiosyncratic volatility puzzle," European Financial Management, European Financial Management Association, vol. 25(3), pages 655-683, June.
    42. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Does investor attention matter for market anomalies?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    43. Şahin, Baki Cem & Danışoğlu, Seza, 2022. "Ambiguity and asset pricing: An empirical investigation for an emerging market," International Review of Financial Analysis, Elsevier, vol. 84(C).
    44. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    45. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    46. Cui, Xin & Wang, Chunfeng & Liao, Jing & Fang, Zhenming & Cheng, Feiyang, 2021. "Economic policy uncertainty exposure and corporate innovation investment: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    47. Zhang, Qin & Wong, Jin Boon, 2022. "ESG reputational risks and board monitoring committees," Finance Research Letters, Elsevier, vol. 50(C).
    48. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022. "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers 202232, University of Pretoria, Department of Economics.
    49. Imlak Shaikh, 2019. "On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index," Sustainability, MDPI, vol. 11(6), pages 1-11, March.
    50. Xin Cui & Shouyu Yao & Zhenming Fang & Hua Wang, 2021. "Economic policy uncertainty exposure and earnings management: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 3937-3976, September.
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    88. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2023. "Anti-herding by hedge funds and its implications for expected returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 31-48.
    89. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Tsionas, Mike G., 2021. "Trading off accuracy for speed: Hedge funds' decision-making under uncertainty," International Review of Financial Analysis, Elsevier, vol. 75(C).
    90. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
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    92. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
    93. Qureshi, Fiza & Kutan, Ali M. & Ghafoor, Abdul & Hussain Khan, Habib & Qureshi, Zeeshan, 2019. "Dynamics of mutual funds and stock markets in Asian developing economies," Journal of Asian Economics, Elsevier, vol. 65(C).
    94. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    95. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    96. Linda Mhalla & Julien Hambuckers & Marie Lambert, 2022. "Extremal connectedness of hedge funds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 988-1009, August.
    97. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    98. Ji, Xiuqing & Martin, J. Spencer & Yao, Yaqiong, 2017. "Macroeconomic risk and seasonality in momentum profits," Journal of Financial Markets, Elsevier, vol. 36(C), pages 76-90.
    99. Mustafa O. Caglayan & Umut Celiker & Gokhan Sonaer, 2022. "Disagreement between hedge funds and other institutional investors and the cross‐section of expected stock returns," The Financial Review, Eastern Finance Association, vol. 57(3), pages 663-689, August.
    100. Sumudu W. Watugala, 2019. "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 921-945, August.
    101. Laleh Samarbakhsh & Amanjot Singh, 2022. "COVID‐19 and hedge fund equity ownership," International Review of Finance, International Review of Finance Ltd., vol. 22(2), pages 356-364, June.
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  9. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.

    Cited by:

    1. Anderson, G. & Linton, O. & Pittau, M G. & Whang, Y-J. & Zelli, R., 2020. "On Unit Free Assessment of The Extent of Multilateral Distributional Variation," Cambridge Working Papers in Economics 20123, Faculty of Economics, University of Cambridge.
    2. Candelon, Bertrand & Fuerst, Franz & Hasse, Jean-Baptiste, 2021. "Diversification Potential in Real Estate Portfolios," LIDAM Discussion Papers LFIN 2021001, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    4. Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Kooli, Maher & Stetsyuk, Ivan, 2021. "Are hedge fund managers skilled?," Global Finance Journal, Elsevier, vol. 49(C).
    6. Bi, Hongwei & Zhu, Wei, 2022. "Nonmonotonic risk preferences over lottery comparison," European Journal of Operational Research, Elsevier, vol. 303(3), pages 1458-1468.
    7. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
    8. Ben Khelifa, Soumaya & Guesmi, Khaled & Urom, Christian, 2021. "Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
    9. Trung K. Do, 2021. "Socially responsible investing portfolio: An almost stochastic dominance approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1122-1132, January.
    10. David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    11. Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2013. "Bivariate Almost Stochastic Dominance," LIDAM Discussion Papers ISBA 2013002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
    13. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    14. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    15. Jean-Baptiste Hasse & Christelle Lecourt & Souhila Siagh, 2023. "Institutional Stock-Bond Portfolios Rebalancing and Financial Stability," AMSE Working Papers 2322, Aix-Marseille School of Economics, France.
    16. Ilia Tsetlin & Robert L. Winkler & Rachel J. Huang & Larry Y. Tzeng, 2015. "Generalized Almost Stochastic Dominance," Operations Research, INFORMS, vol. 63(2), pages 363-377, April.
    17. Ludwig Chincarini, 2014. "The Impact of Quantitative Methods on Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 20(5), pages 857-890, November.
    18. Chin Hon Tan, 2015. "Weighted Almost Stochastic Dominance: Revealing the Preferences of Most Decision Makers in the St. Petersburg Paradox," Decision Analysis, INFORMS, vol. 12(2), pages 74-80, June.
    19. Huang, Paoyu & Ni, Yensen, 2017. "Board structure and stock price informativeness in terms of moving average rules," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 161-169.
    20. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    21. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
    22. Bi, Hongwei & Huang, Rachel J. & Tzeng, Larry Y. & Zhu, Wei, 2019. "Higher-order Omega: A performance index with a decision-theoretic foundation," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 43-57.
    23. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," INDEM - Working Paper Business Economic Series id-13-01, Instituto para el Desarrollo Empresarial (INDEM).
    24. Mei, Bin & Clutter, Michael L., 2020. "Return and information transmission of public and private timberland markets in the United States," Forest Policy and Economics, Elsevier, vol. 113(C).
    25. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
    26. Denuit, Michel M. & Huang, Rachel J. & Tzeng, Larry Y. & Wang, Christine W., 2014. "Almost marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 57-66.
    27. Tzu-Ying Chen & Yi-Hsin Elsa Hsu & Rachel J. Huang & Larry Y. Tzeng, 2021. "Making socioeconomic health inequality comparisons when health concentration curves intersect," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 57(4), pages 875-899, November.
    28. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
    29. Afrae Hassouni & Hugues Pirotte, 2022. "Beyond mean–variance: assessing hedge fund performance in a non-parametric world," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(4), pages 473-488, December.
    30. Chin Hon Tan & Chunling Luo, 2017. "Clear Preferences Under Partial Distribution Information," Decision Analysis, INFORMS, vol. 14(1), pages 65-73, March.
    31. Hermann Jahnke & Jan Thomas Martini & Tobias Wiens, 2019. "Price limits under incomplete preference information based on almost stochastic dominance," Business Research, Springer;German Academic Association for Business Research, vol. 12(1), pages 241-269, April.
    32. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    33. Yi-Chieh Huang & Kamhon Kan & Larry Y. Tzeng & Kili C. Wang, 2021. "Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles," Management Science, INFORMS, vol. 67(8), pages 4742-4755, August.
    34. Chunling Luo & Chin Hon Tan, 2020. "Almost Stochastic Dominance for Most Risk-Averse Decision Makers," Decision Analysis, INFORMS, vol. 17(2), pages 169-184, June.
    35. Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
    36. Lee, Yung-Tsung & Kung, Ko-Lun & Liu, I-Chien, 2018. "Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 255-266.

  10. Stephen J. Brown & Bruce D. Grundy & Craig M. Lewis & Patrick Verwijmeren, 2013. "Hedge Fund Involvement in Convertible Securities," Journal of Applied Corporate Finance, Morgan Stanley, vol. 25(4), pages 60-73, December.

    Cited by:

    1. Hackney, John & Henry, Tyler R. & Koski, Jennifer L., 2020. "Arbitrage vs. informed short selling: Evidence from convertible bond issuers," Journal of Corporate Finance, Elsevier, vol. 65(C).

  11. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
    See citations under working paper version above.
  12. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.

    Cited by:

    1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    2. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    3. Previati, Daniele Angelo & Galloppo, Giuseppe & Aliano, Mauro & Paimanova, Viktoria, 2021. "Why do banks react differently to short-selling bans? Evidence from the Asia-Pacific area and the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 144-158.
    4. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
    5. Rungmaitree, Pattamon & Boateng, Agyenim & Ahiabor, Frederick & Lu, Qinye, 2022. "Political risk, hedge fund strategies, and returns: Evidence from G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    6. Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Wagner, Wolf & Gong, Di, 2016. "Systemic risk-taking at banks: Evidence from the pricing of syndicated loans," CEPR Discussion Papers 11150, C.E.P.R. Discussion Papers.
    8. Kooli, Maher & Stetsyuk, Ivan, 2021. "Are hedge fund managers skilled?," Global Finance Journal, Elsevier, vol. 49(C).
    9. Subbiah, Mohan & Fabozzi, Frank J., 2016. "Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 189-201.
    10. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    11. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    12. Jung-Min KIM, 2015. "Failure Risk and the Cross-Section of Hedge Fund Returns," Working Papers 2015-13, Economic Research Institute, Bank of Korea.
    13. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
    14. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
    15. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    16. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    17. Farrukh Naveed & Muhammad Ishfaq & Zahid Maqbool, 2021. "The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 376-388, September.
    18. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    19. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    20. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
    21. Ludwig Chincarini, 2014. "The Impact of Quantitative Methods on Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 20(5), pages 857-890, November.
    22. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    23. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    24. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
    25. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
    26. Cumming, Douglas & Dai, Na & Johan, Sofia, 2020. "Dodd-Franking the hedge Funds," Journal of Banking & Finance, Elsevier, vol. 119(C).
    27. Gerhard Lechner & Rupert Beinhauer, 2018. "Are Commodity Hedge Funds interesting for institutional investors?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    28. Rakowski, David & Yamani, Ehab, 2021. "Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 247-271.
    29. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    30. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
    31. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
    32. Bandi, Federico M. & Renò, Roberto, 2022. "β in the tails," Journal of Econometrics, Elsevier, vol. 227(1), pages 134-150.
    33. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
    34. Daniele Angelo Previati & Giuseppe Galloppo & Mauro Aliano & Viktoriia Paimanova, 2017. "Why Do US Banks React Differently to Short Selling Bans?," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Giusy Chesini & Elisa Giaretta & Andrea Paltrinieri (ed.), The Business of Banking, chapter 0, pages 79-108, Palgrave Macmillan.
    35. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.
    36. Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
    37. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    38. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
    39. Nicolas P. B. Bollen & Mark C. Hutchinson & John O'Brien, 2021. "When it pays to follow the crowd: Strategy conformity and CTA performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 875-894, June.
    40. Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
    41. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
    42. Ekaterini Panopoulou & Nikolaos Voukelatos, 2022. "Should hedge funds deviate from the benchmark?," Financial Management, Financial Management Association International, vol. 51(3), pages 767-795, September.
    43. Sha Zhu & Fujun Lai & Jie Deng & Qian Wang, 2021. "Do Mutual Funds’ Exposure to Financial Stress Predict Their Future Returns? Evidence From China," SAGE Open, , vol. 11(4), pages 21582440211, October.
    44. Ali, Sara & Badshah, Ihsan & Demirer, Riza & Hegde, Prasad, 2022. "Economic policy uncertainty and institutional investment returns: The case of New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    45. Thomas Conlon & John Cotter & Chenglu Jin, 2016. "The Intervaling Effect on Higher-Order Co-Moments," Working Papers 201602, Geary Institute, University College Dublin.
    46. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
    47. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    48. Bollen, Nicolas P. B., 2013. "Zero-R2Hedge Funds and Market Neutrality," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 519-547, April.
    49. Kooli, Maher & Zhang, Min, 2022. "Not only skill but also scale: Evidence from the hedge funds industry," International Review of Financial Analysis, Elsevier, vol. 83(C).
    50. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    51. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    52. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    53. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
    54. Greg N. Gregoriou & Maher Kooli, 2017. "The profiles of merged hedge funds, funds of hedge funds, and CTA," Journal of Asset Management, Palgrave Macmillan, vol. 18(1), pages 49-63, January.
    55. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.

  13. Stephen J. Brown & Greg N. Gregoriou & Razvan Pascalau, 2012. "Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 2(1), pages 89-110.

    Cited by:

    1. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    2. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    3. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    4. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    5. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    6. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    7. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.
    8. Dorfleitner, Gregor & Fischer, Lukas & Lung, Carina & Willmertinger, Philipp & Stang, Nico & Dietrich, Natalie, 2018. "To follow or not to follow – An empirical analysis of the returns of actors on social trading platforms," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 160-171.
    9. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    10. Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
    11. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
    12. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    13. Lee, Jennifer Eunkyeong & Cho, Hoon & Ryu, Doojin & Seok, Sangik, 2023. "Does performance-chasing behavior matter? International evidence," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    14. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
    15. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.

  14. Stephen J. Brown, 2012. "Quantitative measures of operational risk: an application to funds management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(4), pages 1001-1011, December.

    Cited by:

    1. Beatriz Fernández-Muñiz & José Manuel Montes-Peón & Camilo José Vázquez-Ordás, 2022. "The influence of organizational climate, incentives and knowledge sharing on misconduct and risk-taking in banking," Risk Management, Palgrave Macmillan, vol. 24(1), pages 55-80, March.
    2. Wenbo Wu & Jiaqi Chen & Zhibin (Ben) Yang & Michael L. Tindall, 2021. "A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection," Management Science, INFORMS, vol. 67(7), pages 4577-4601, July.
    3. Sue Wright & Elizabeth Sheedy & Shane Magee, 2018. "International compliance with new Basel Accord principles for risk governance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 279-311, March.
    4. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.

  15. Stephen J. Brown & Bruce D. Grundy & Craig M. Lewis & Patrick Verwijmeren, 2012. "Convertibles and Hedge Funds as Distributors of Equity Exposure," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3077-3112.

    Cited by:

    1. Peter J. Zeitsch, 2024. "Convertible Bond Arbitrage Smart Beta," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 159-192, January.
    2. King, Tao-Hsien Dolly & Mauer, David C., 2014. "Determinants of corporate call policy for convertible bonds," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 112-134.
    3. Dutordoir, Marie & Li, Hui & Liu, Frank Hong & Verwijmeren, Patrick, 2016. "Convertible bond announcement effects: Why is Japan different?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 76-92.
    4. Karpavičius, Sigitas & Suchard, Jo-Ann, 2018. "Institutional ownership and the choice of equity issue method," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 73-84.
    5. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Out of Sync: Dispersed Short Selling and the Correction of Mispricing," Working Papers 108, Red Nacional de Investigadores en Economía (RedNIE).
    6. Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret, 2014. "Convertible Debt and Shareholder Incentives," Cahiers de recherche 1403, CIRPEE.
    7. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    8. Tobias Nigbur, 2015. "Calls of convertible debt securities: no bad news at all," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 61-79, February.
    9. Karen Benson & Martina K. Linnenluecke & David Morrison & Sviatoslav Rosov, 2020. "Death spiral PIPEs: a reconsideration of the evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 4175-4194, December.
    10. Grundy, Bruce D. & Veld, Chris & Verwijmeren, Patrick & Zabolotnyuk, Yuriy, 2014. "Why are conversion-forcing call announcements associated with negative wealth effects?," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 149-157.
    11. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, November.
    12. Jank, Stephan & Roling, Christoph & Smajlbegovic, Esad, 2016. "Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices," Discussion Papers 25/2016, Deutsche Bundesbank.
    13. Bruce D. Grundy & Patrick Verwijmeren, 2012. "Dividend-Protected Convertible Bonds and the Disappearance," Tinbergen Institute Discussion Papers 12-060/2/DSF37, Tinbergen Institute.
    14. Verwijmeren, Patrick & Yang, Antti, 2020. "The fluctuating maturities of convertible bonds," Journal of Corporate Finance, Elsevier, vol. 62(C).
    15. Hackney, John & Henry, Tyler R. & Koski, Jennifer L., 2020. "Arbitrage vs. informed short selling: Evidence from convertible bond issuers," Journal of Corporate Finance, Elsevier, vol. 65(C).
    16. Chao, Ching-Hsiang & Huang, Chih-Jen & Ho, Ruey-Jenn & Huang, Hsin-Yi, 2022. "Catering to investors through capital expenditures: Testing assets substitution problem around financing," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    17. Henderson, Brian J. & Zhao, Bo, 2014. "More than meets the eye: Convertible bond issuers' concurrent transactions," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 57-79.
    18. Henk Berkman & Michael McKenzie & Patrick Verwijmeren, 2013. "Hole in the Wall: Informed Short Selling ahead of Private Placements," Tinbergen Institute Discussion Papers 13-153/IV/DSF62, Tinbergen Institute.
    19. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
    20. Basu, Anup K. & Dulleck, Uwe, 2020. "Why do (some) consumers purchase complex financial products? An experimental study on investment in hybrid securities," Economic Analysis and Policy, Elsevier, vol. 67(C), pages 203-220.
    21. Dutordoir, Marie & Lewis, Craig & Seward, James & Veld, Chris, 2014. "What we do and do not know about convertible bond financing," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 3-20.
    22. Kelvin Jui Keng Tan & Jia Min Lee & Robert W. Faff & Kathy Walsh, 2016. "Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 1149-1185, December.
    23. Grundy, Bruce D. & Verwijmeren, Patrick, 2020. "The external financing of investment," Journal of Corporate Finance, Elsevier, vol. 65(C).
    24. Lewis, Craig & Verwijmeren, Patrick, 2014. "Cash-settled convertible bonds and the value relevance of their accounting treatment," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 101-111.
    25. Liang‐Chih Liu & Tian‐Shyr Dai & Lei Zhou & Hao‐Han Chang, 2022. "Analyzing interactive call, default, and conversion policies for corporate bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1597-1638, August.
    26. Marle, Mats van & Verwijmeren, Patrick, 2017. "The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 237-249.
    27. Dutordoir, Marie & Merkoulova, Yulia & Veld, Chris, 2022. "How do investors perceive convertible bond issuing decisions?," Finance Research Letters, Elsevier, vol. 44(C).
    28. Bechmann, Ken L. & Lunde, Asger & Zebedee, Allan A., 2014. "In- and out-of-the-money convertible bond calls: Signaling or price pressure?," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 135-148.
    29. Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre, 2014. "Convertible debt and shareholder incentives," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 38-56.
    30. Inmoo Lee & Rex Wang Renjie & Patrick Verwijmeren, 2023. "How Do Options Add Value? Evidence from the Convertible Bond Market," Review of Finance, European Finance Association, vol. 27(1), pages 189-222.
    31. Li, Hui & Liu, Hong & Siganos, Antonios, 2016. "A comparison of the stock market reactions of convertible bond offerings between financial and non-financial institutions: Do they differ?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 356-366.
    32. Batten, Jonathan A. & Khaw, Karren Lee-Hwei & Young, Martin R., 2021. "Convertible debt and asset substitution of multinational corporations," Journal of Corporate Finance, Elsevier, vol. 67(C).
    33. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).

  16. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.

    Cited by:

    1. Mirela Nichita & Carmen Turlea, 2015. "Approach Regarding a Framework for Risk Reporting in Order to Enhance the Related Good Practices," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 17(40), pages 1108-1108, August.

  17. Stephen J. Brown, 2011. "The efficient markets hypothesis: The demise of the demon of chance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 79-95, March.

    Cited by:

    1. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    2. DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
    3. Colin M. Van Oort & Ethan Ratliff-Crain & Brian F. Tivnan & Safwan Wshah, 2023. "Adaptive Agents and Data Quality in Agent-Based Financial Markets," Papers 2311.15974, arXiv.org.
    4. Dragon Yongjun Tang, 2014. "Potential losses from incorporating return predictability into portfolio allocation," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 35-45, February.
    5. Gerald J. Lobo & Luc Paugam & Hervé Stolowy & Pierre Astolfi, 2017. "The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades," Abacus, Accounting Foundation, University of Sydney, vol. 53(1), pages 59-93, March.
    6. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.
    7. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
    8. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.

  18. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.

    Cited by:

    1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    2. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    3. Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020. "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers 14873, C.E.P.R. Discussion Papers.
    4. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Rungmaitree, Pattamon & Boateng, Agyenim & Ahiabor, Frederick & Lu, Qinye, 2022. "Political risk, hedge fund strategies, and returns: Evidence from G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    6. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    7. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
    8. Kooli, Maher & Stetsyuk, Ivan, 2021. "Are hedge fund managers skilled?," Global Finance Journal, Elsevier, vol. 49(C).
    9. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    10. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    11. Jung-Min KIM, 2015. "Failure Risk and the Cross-Section of Hedge Fund Returns," Working Papers 2015-13, Economic Research Institute, Bank of Korea.
    12. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
    13. Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
    14. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
    15. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016. "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance 1621, University of St. Gallen, School of Finance.
    16. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
    17. Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    18. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    19. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    20. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
    21. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    22. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    23. Gökçen, Umut & Yalçın, Atakan, 2015. "The case against active pension funds: Evidence from the Turkish Private Pension System," Emerging Markets Review, Elsevier, vol. 23(C), pages 46-67.
    24. Flávia Januzzi & Aureliano Bressan & Fernando Moreira, 2020. "Opacity, Risk, Performance and Inflows in Hedge Funds," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 24(1), pages 77-99.
    25. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
    26. Dai, Na & Nahata, Rajarishi & Brauner, Aaron, 2022. "Does individualism matter for hedge funds? A cross-country examination," Journal of Corporate Finance, Elsevier, vol. 72(C).
    27. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    28. Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
    29. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    30. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    31. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
    32. Bandi, Federico M. & Renò, Roberto, 2022. "β in the tails," Journal of Econometrics, Elsevier, vol. 227(1), pages 134-150.
    33. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
    34. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
    35. Hany A. Shawky & Ying Wang, 2017. "Can Liquidity Risk Explain Diseconomies of Scale in Hedge Funds?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-35, June.
    36. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.
    37. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    38. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    39. Baibing Li & Ji Luo & Kai†Hong Tee, 2017. "The Market Liquidity Timing Skills of Debt†oriented Hedge Funds," European Financial Management, European Financial Management Association, vol. 23(1), pages 32-54, January.
    40. Nicolas P. B. Bollen & Mark C. Hutchinson & John O'Brien, 2021. "When it pays to follow the crowd: Strategy conformity and CTA performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 875-894, June.
    41. Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
    42. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
    43. Sha Zhu & Fujun Lai & Jie Deng & Qian Wang, 2021. "Do Mutual Funds’ Exposure to Financial Stress Predict Their Future Returns? Evidence From China," SAGE Open, , vol. 11(4), pages 21582440211, October.
    44. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    45. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    46. Gorovyy, Sergiy & Kelly, Patrick J. & Kuzmina, Olga, 2021. "Does secrecy signal skill? Own-investor secrecy and hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 133(C).
    47. Gao, Lei & Wang, Ying & Zhao, Jing, 2017. "Does local religiosity affect organizational risk-taking? Evidence from the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 1-22.
    48. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    49. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
    50. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    51. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
    52. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
    53. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.

  19. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.

    Cited by:

    1. Howard Chan & Robert Faff & Paul Kofman, 2011. "Is default risk priced in Australian equity? Exploring the role of the business cycle," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 217-246, August.
    2. Hiraki, Takato & Liu, Ming & Wang, Xue, 2015. "Country and industry concentration and the performance of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 297-310.
    3. G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
    4. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).

  20. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
    See citations under working paper version above.
  21. Brown, Stephen J., 2008. "Elusive return predictability: Discussion," International Journal of Forecasting, Elsevier, vol. 24(1), pages 19-21.

    Cited by:

    1. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    2. Baltas, Nick & Karyampas, Dimitrios, 2018. "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, vol. 38(C), pages 83-102.

  22. Brown, Stephen & Ghon Rhee, S. & Zhang, Liang, 2008. "The return to value in Asian stock markets," Emerging Markets Review, Elsevier, vol. 9(3), pages 194-205, September.

    Cited by:

    1. Staglianò, Raffaele & La Rocca, Maurizio & Gerace, Dionigi, 2018. "The impact of ownership concentration and analyst coverage on market liquidity: Comparative evidence from an auction and a specialist market," Economic Modelling, Elsevier, vol. 70(C), pages 203-214.
    2. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    3. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    4. Fahad Ali & RongRong He & YueXiang Jiang, 2018. "Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market," Economies, MDPI, vol. 6(1), pages 1-24, February.
    5. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth & Chunhachinda, Pornchai & Nathaphan, Sarayut, 2020. "Mutual fund liquidity timing ability in the higher moment framework," Research in International Business and Finance, Elsevier, vol. 51(C).
    6. Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua, 2014. "Value investing and technical analysis in Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 14-36.
    7. Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.

  23. Brown, Stephen & Yan Du, Daphne & Rhee, S. Ghon & Zhang, Liang, 2008. "The returns to value and momentum in Asian Markets," Emerging Markets Review, Elsevier, vol. 9(2), pages 79-88, June.

    Cited by:

    1. Burton G. Malkiel & Derek Jun, 2009. "The Value Effect and the Market For Chinese Stocks," Working Papers 1177, Princeton University, Department of Economics, Center for Economic Policy Studies..
    2. Staglianò, Raffaele & La Rocca, Maurizio & Gerace, Dionigi, 2018. "The impact of ownership concentration and analyst coverage on market liquidity: Comparative evidence from an auction and a specialist market," Economic Modelling, Elsevier, vol. 70(C), pages 203-214.
    3. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    4. Limkriangkrai, Manapon & Chai, Daniel & Zheng, Gaoping, 2023. "Market intraday momentum: APAC evidence," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    5. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
    6. Foye, James, 2018. "A comprehensive test of the Fama-French five-factor model in emerging markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 199-222.
    7. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
    8. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 223-246, August.
    9. Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
    10. Shangkari V. Anusakumar & Ruhani Ali, 2017. "Momentum and Investor Sentiment: Evidence from Asian Stock Markets," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 26-42.
    11. Tomasz MIZIOLEK & Adam ZAREMBA, 2017. "Fundamental Indexation in European Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 23-37, March.
    12. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth & Chunhachinda, Pornchai & Nathaphan, Sarayut, 2020. "Mutual fund liquidity timing ability in the higher moment framework," Research in International Business and Finance, Elsevier, vol. 51(C).
    13. Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 253-273, April.
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    15. Timo H Leivo & Eero J Pätäri, 2011. "Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 401-416, February.
    16. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    17. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
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    19. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
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  24. Simone Brands & Stephen J. Brown & David R. Gallagher, 2005. "Portfolio Concentration and Investment Manager Performance," International Review of Finance, International Review of Finance Ltd., vol. 5(3‐4), pages 149-174, September.

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    1. Loban, Lidia & Sarto, José Luis & Vicente, Luis, 2021. "Determinants of non-compliant equity funds with EU portfolio concentration limits," Journal of Multinational Financial Management, Elsevier, vol. 62(C).
    2. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
    3. Hiraki, Takato & Liu, Ming & Wang, Xue, 2015. "Country and industry concentration and the performance of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 297-310.
    4. Feng Dong & John A. Doukas, 2019. "The payback of mutual fund selectivity in European markets," European Financial Management, European Financial Management Association, vol. 25(1), pages 160-180, January.
    5. Cao, Ying & von Reibnitz, Anna & Warren, Geoffrey J., 2020. "Return dispersion and fund performance: Australia – The land of opportunity?," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    6. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    7. Zhe Chen & David R Gallagher & Camille H Schmidt, 2017. "Are funds true to label? A note on matching qualitative and quantitative information," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 296-307, May.
    8. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2009. "The Value of Alpha Forecasts in Portfolio Construction," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 97-121, June.
    9. Marshall A. Geiger & Sami Keskek & Abdullah Kumas, 2022. "Trading concentration and industry-specific information: an analysis of auto complaints," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 913-937, October.
    10. Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010. "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," University of St. Gallen Department of Economics working paper series 2010 2010-20, Department of Economics, University of St. Gallen.
    11. Feng Dong, 2020. "Noise-driven abnormal institutional investor attention," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 467-488, September.
    12. Andrew Ainsworth & Kingsley YL Fong & David R Gallagher & Graham Partington, 2016. "Institutional trading around the ex-dividend day," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 299-323, May.
    13. Ekholm, Anders G., 2012. "Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 349-358.
    14. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    15. Lang, Gunnar & Shen, Yu & Xu, Xian, 2014. "Chinese pension fund investment efficiency: Evidence from CNCSSF stock holdings," ZEW Discussion Papers 14-007, ZEW - Leibniz Centre for European Economic Research.
    16. Daniel Buncic & Jon E. Eggins & Robert J. Hill & David Gallagher, 2015. "Measuring fund style, performance and activity: a new style-profiling approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 29-55, March.
    17. Frieder Meyer-Bullerdiek, 2018. "Portfolio rebalancing versus buy-and-hold: A simulation based study with special consideration of portfolio concentration," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(5), pages 1-4.
    18. Poompak Kusawat & Nopadol Rompho, 2023. "Impact of Investing Characteristics on Financial Performance of Individual Investors: An Exploratory Study," Papers 2311.00384, arXiv.org.
    19. Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.
    20. Amit Pandey & Anil Kumar Sharma, 2023. "Effect of Index Concentration on Index Volatility and Performance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 559-585, September.
    21. Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.
    22. Hitesh Doshi & Redouane Elkamhi & Mikhail Simutin, 2015. "Managerial Activeness and Mutual Fund Performance," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 156-184.
    23. Dong, Feng & Doukas, John A., 2021. "Managerial ability premium factor and fund performance," Journal of International Money and Finance, Elsevier, vol. 113(C).
    24. Suresh Nallareddy & Maria Ogneva, 2017. "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, vol. 22(2), pages 503-542, June.
    25. Scott Bennett & David R Gallagher & Graham Harman & Geoffrey J Warren & Lihui Xi, 2016. "Alpha generation in portfolio management: Long-run Australian equity fund evidence," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 107-140, February.

  25. Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003. "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 393-412, September.
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  26. Stephen J. Brown & William N. Goetzmann & James Park, 2001. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry," Journal of Finance, American Finance Association, vol. 56(5), pages 1869-1886, October.

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    1. Scheckenbach, Isabel & Wimmer, Maximilian & Dorfleitner, Gregor, 2021. "The higher you fly, the harder you try not to fall: An analysis of the risk taking behavior in social trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 239-259.
    2. Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2020. "The Performance of Hedge Fund Performance Fees," Working Paper Series 2020-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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    4. Suleyman Basak & Dmitry Makarov, 2010. "Difference in Interim Performance and Risk Taking with Short-sale Constraints," Working Papers w0159, Center for Economic and Financial Research (CEFIR).
    5. Campbell, T. Colin, 2014. "CEO optimism and the board's choice of successor," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 495-510.
    6. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    7. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    8. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
    9. Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
    10. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," Economics Discussion Paper Series 1507, Economics, The University of Manchester.
    11. Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    12. Alexander Kempf & Stefan Ruenzi, 2008. "Tournaments in Mutual-Fund Families," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 1013-1036, April.
    13. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    14. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21, december.
    15. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm177, Yale School of Management.
    16. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
    17. Li, Ying & Holland, A. Steven & Kazemi, Hossein B., 2019. "Duration of poor performance and risk shifting by hedge fund managers," Global Finance Journal, Elsevier, vol. 40(C), pages 35-47.
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    1. Pasquariello, Paolo, 2010. "Central bank intervention and the intraday process of price formation in the currency markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1045-1061, October.
    2. Sovan Mitra, 2009. "An Introduction to Hedge Funds," Papers 0904.2731, arXiv.org, revised Apr 2009.

  28. Brown, Stephen J. & Steenbeek, Onno W., 2001. "Doubling: Nick Leeson's trading strategy," Pacific-Basin Finance Journal, Elsevier, vol. 9(2), pages 83-99, April.

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    1. Huayuan Dong & Paolo Guasoni & Eberhard Mayerhofer, 2023. "Rogue traders," Finance and Stochastics, Springer, vol. 27(3), pages 539-603, July.
    2. Häger, David & Andersen, Lasse B., 2010. "A knowledge based approach to loss severity assessment in financial institutions using Bayesian networks and loss determinants," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1635-1644, December.
    3. Hagen Rafeld & Sebastian G. Fritz-Morgenthal & Peter N. Posch, 2020. "Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks," Journal of Business Ethics, Springer, vol. 165(4), pages 633-657, September.
    4. Martens, Martin & Steenbeek, Onno W., 2001. "Intraday trading halts in the Nikkei futures market," Pacific-Basin Finance Journal, Elsevier, vol. 9(5), pages 535-561, November.
    5. Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.

  29. Brown, Stephen J & Goetzmann, William N & Hiraki, Takato & Otsuki, Toshiyuki & Shiraishi, Noriyoshi, 2001. "The Japanese Open-End Fund Puzzle," The Journal of Business, University of Chicago Press, vol. 74(1), pages 59-77, January.
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    113. Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019. "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers 13618, C.E.P.R. Discussion Papers.
    114. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.
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    Cited by:

    1. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
    2. Hung-Cheng Lai & Kuan-Min Wang, 2016. "Does Survivorship Bias of Mutual Funds Differ Between Liquidations and Mergers?," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(4), pages 299-314.
    3. Dai, John & Sundaresan, Suresh, 2009. "Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage," MPRA Paper 16483, University Library of Munich, Germany.
    4. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Papers 0810.1922, arXiv.org.

  32. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
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  33. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. "Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-873, July.

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    1. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    2. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    3. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
    4. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    5. Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," Economics Working Papers 16111, Hoover Institution, Stanford University.
    6. Ashenfelter, O. & Harmon, C. & Oosterbeek, H., 1999. "A Review of Estimates of the Schooling/ Earnings Relationship, with tests for Publication Bias," Papers 99/20, College Dublin, Department of Political Economy-.
    7. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    8. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
    9. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    10. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
    11. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    12. Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010. "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers 10-078/3, Tinbergen Institute.
    13. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
    14. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
    15. Ball, Ray & Bartov, Eli, 1996. "How naive is the stock market's use of earnings information?," Journal of Accounting and Economics, Elsevier, vol. 21(3), pages 319-337, June.
    16. Edward McLaney & John Pointon & Melanie Thomas & Jon Tucker, 2004. "Practitioners' perspectives on the UK cost of capital," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 123-138.
    17. Marcus H. Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stockmarket: Analyzing the "Greenspan Put"," Working Paper Series WP02-1, Peterson Institute for International Economics.
    18. Li, Minqiang & Pearson, Neil D. & Poteshman, Allen M., 2004. "Conditional estimation of diffusion processes," Journal of Financial Economics, Elsevier, vol. 74(1), pages 31-66, October.
    19. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
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    22. Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015. "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 9-22.
    23. William N. Goetzmann & Roger G. Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm154, Yale School of Management.
    24. Sørensen, Carsten & Munk, Claus, 2001. "Optimal Consumption and Investment Strategies with Stochastic Interest Rates," Working Papers 2000-9, Copenhagen Business School, Department of Finance.
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    29. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-004, New York University, Leonard N. Stern School of Business-.
    30. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
    31. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
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    35. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
    36. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    37. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
    38. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
    39. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
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    41. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    42. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
    43. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.
    44. Case, Spencer A. & Lee, D. Scott & Martin, John D., 2007. "The potential for expropriation through joint ventures," Review of Financial Economics, Elsevier, vol. 16(1), pages 111-126.
    45. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
    46. Shiller, Robert J., 2006. "Life-cycle personal accounts proposal for Social Security: An evaluation of President Bush's proposal," Journal of Policy Modeling, Elsevier, vol. 28(4), pages 427-444, May.
    47. Wang, Xiaozu, 2000. "Size effect, book-to-market effect, and survival," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 257-273, December.

  34. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
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  35. Brown, Stephen J. & Otsuki, Toshiyuki, 1993. "Risk premia in Pacific-Basin capital markets," Pacific-Basin Finance Journal, Elsevier, vol. 1(3), pages 235-261, September.

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    1. Karl Ludwig Keiber & Helene Samyschew, 2015. "The role of sentiment in global risk premia," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2073-2091, April.
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Bailey, Warren & Chung, Y. Peter & Kag, Jun-koo, 1996. "Investment restrictions and the pricing of Korean convertible Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 93-111, May.
    4. Tai, Chu-Sheng, 2008. "Asymmetric currency exposure and currency risk pricing," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 647-663, September.
    5. Doukas, John & Hall, Patricia H. & Lang, Larry H. P., 1999. "The pricing of currency risk in Japan," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 1-20, January.
    6. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
    7. Bailey, Warren & Mao, Connie X. & Sirodom, Kulpatra, 2007. "Investment restrictions and the cross-border flow of information: Some empirical evidence," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 1-25, February.
    8. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
    9. Süleyman Bilgin Kılıç & Semin Paksoy & Tolga Genç, 2014. "Forecasting the Direction of BIST 100 Returns with Artificial Neural Network Models," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 4(3), pages 759-759.
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    13. Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
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    17. Angela Besana & Annamaria Esposito, 2017. "Memory, Marketing and Economic Performances in Usa Symphony Orchestras and Opera Houses," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
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    21. Bailey, Warren & Peter Chung, Y., 1996. "Risk and return in the Philippine equity market: A multifactor exploration," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 197-218, July.

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    1. Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2016. "Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry," World Scientific Book Chapters, in: Itzhak Venezia (ed.), Behavioral Finance WHERE DO INVESTORS' BIASES COME FROM?, chapter 3, pages 67-113, World Scientific Publishing Co. Pte. Ltd..
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Chay, J. B. & Trzcinka, Charles A., 1999. "Managerial performance and the cross-sectional pricing of closed-end funds," Journal of Financial Economics, Elsevier, vol. 52(3), pages 379-408, June.
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    6. Chordia, Tarun, 1996. "The structure of mutual fund charges," Journal of Financial Economics, Elsevier, vol. 41(1), pages 3-39, May.
    7. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 302-322, June.
    8. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
    9. Liao, Tung-Shan & Rice, John, 2010. "Innovation investments, market engagement and financial performance: A study among Australian manufacturing SMEs," Research Policy, Elsevier, vol. 39(1), pages 117-125, February.
    10. Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013. "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper 83500, University Library of Munich, Germany, revised 2013.
    11. Chowdhury, Shyamal & Mallick, Debdulal & Chowdhury, Prabal Roy, 2017. "Natural Shocks and Marriage Markets: Evolution of Mehr and Dowry in Muslim Marriages," IZA Discussion Papers 10675, Institute of Labor Economics (IZA).
    12. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
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    25. Janda, K & Rausser, G & Svárovská, B, 2014. "Can investment in microfinance funds improve risk-return characteristics of a portfolio?," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt61k33595, Department of Agricultural & Resource Economics, UC Berkeley.
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    1. Christian Beer & Janine Maniora & Christiane Pott, 2023. "COVID-19 pandemic and capital markets: the role of government responses," Journal of Business Economics, Springer, vol. 93(1), pages 11-57, January.
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  46. Brown, Stephen J & Weinstein, Mark I, 1983. "A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm," Journal of Finance, American Finance Association, vol. 38(3), pages 711-743, June.

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    4. Nagendra Marisetty & M. Suresh Babu, 2023. "Stocks Abnormal Returns and Rate of Dividend Announcements," International Journal of Business and Management, Canadian Center of Science and Education, vol. 16(11), pages 1-33, February.
    5. Chou, Pin-Huang & Li, Wen-Shen & Lin, Jun-Biao & Wang, Jane-Sue, 2006. "Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 363-376.
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    7. Jan Bartholdy & Dennis Olson & Paula Peare, 2007. "Conducting Event Studies on a Small Stock Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 13(3), pages 227-252.
    8. Stephen Hall & Amangeldi Kenjegaliev, 2009. "Effect of oil price changes on the price of Russian and Chinese oil shares," Discussion Papers in Economics 09/14, Division of Economics, School of Business, University of Leicester.
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    11. Rodrigo Saens, 1999. "Premia In Emerging Market Adr Prices:Evidence From Chile," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 2(1), pages 51-70.
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  48. Brown, S., 1979. "The Effect of Estimation Risk on Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 215-220, June.

    Cited by:

    1. Shan Zhou & Roger Simnett & Wendy Green, 2017. "Does Integrated Reporting Matter to the Capital Market?," Abacus, Accounting Foundation, University of Sydney, vol. 53(1), pages 94-132, March.
    2. Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2011. "Information Asymmetry, Information Precision, and the Cost of Capital," Review of Finance, European Finance Association, vol. 16(1), pages 1-29.
    3. D. J. Johnstone, 2021. "Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 3-35, January.
    4. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010. "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, vol. 13(4), pages 422-447, November.
    5. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
    6. Sujoy Mukerji & Han Ozsoylev & Jean‐marc Tallon, 2023. "Trading Ambiguity: A Tale of Two Heterogeneities," Post-Print halshs-04192630, HAL.
    7. Billings, Mary Brooke & Jennings, Robert & Lev, Baruch, 2015. "On guidance and volatility," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 161-180.
    8. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    9. Paugam, Luc, 2011. "Valorisation et reporting du goodwill : enjeux théoriques et empiriques," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8007 edited by Casta, Jean-François.
    10. Filippo Vitolla & Antonio Salvi & Nicola Raimo & Felice Petruzzella & Michele Rubino, 2020. "The impact on the cost of equity capital in the effects of integrated reporting quality," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 519-529, February.
    11. Hakan Jankensgard, 2014. "A Tale of Beauties and Beasts: Testing the Optimal Disclosure Hypothesis," Multinational Finance Journal, Multinational Finance Journal, vol. 18(1-2), pages 139-167, March - J.
    12. Fuertes, Ana-Maria & Zhao, Nan, 2022. "A Bayesian Perspective on Commodity Style Integration," MPRA Paper 117831, University Library of Munich, Germany, revised 2023.
    13. Richard J. Kish & Nandkumar Nayar & Wenlong Weng, 2012. "IPO pricing: a case of short-sale restrictions and divergent expectations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1439-1451, November.
    14. Al Guindy, Mohamed, 2021. "Corporate Twitter use and cost of equity capital," Journal of Corporate Finance, Elsevier, vol. 68(C).
    15. Ayman Haddad & Wasim AlShattarat & Naser AbuGhazaleh & Haitham Nobanee, 2015. "The impact of ownership structure and family board domination on voluntary disclosure for Jordanian listed companies," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 203-234, December.
    16. Beyer, Anne & Cohen, Daniel A. & Lys, Thomas Z. & Walther, Beverly R., 2010. "The financial reporting environment: Review of the recent literature," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 296-343, December.
    17. Vanessa Behrmann & Lars Hornuf & Jochen Zimmermann, 2021. "Disclosure Deregulation of Quarterly Reporting," CESifo Working Paper Series 9344, CESifo.
    18. Jankensgård, Håkan, 2013. "An Empirical Test of the Optimal Disclosure Hypothesis," Knut Wicksell Working Paper Series 2013/6, Lund University, Knut Wicksell Centre for Financial Studies.
    19. Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017. "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, vol. 123(2), pages 395-414.
    20. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    21. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
    22. Menachem Brenner & Yehuda Izhakian & Orly Sade, 2011. "Ambiguity and Overconfidence," Working Papers 11-06, New York University, Leonard N. Stern School of Business, Department of Economics.
    23. Salvi, Antonio & Vitolla, Filippo & Giakoumelou, Anastasia & Raimo, Nicola & Rubino, Michele, 2020. "Intellectual capital disclosure in integrated reports: The effect on firm value," Technological Forecasting and Social Change, Elsevier, vol. 160(C).
    24. Hoshik Shim, 2020. "Disclosure Frequency, Information Environment, and Cost of Capital under Regulation Fair Disclosure in the Korean Market," Sustainability, MDPI, vol. 12(14), pages 1-28, July.
    25. Sujoy Mukerji & Han Ozsoylev & Jean‐marc Tallon, 2023. "Trading Ambiguity: A Tale of Two Heterogeneities," PSE-Ecole d'économie de Paris (Postprint) halshs-04192630, HAL.
    26. Yan, Cheng & Cheng, Tingting, 2019. "In search of the optimal number of fund subgroups," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 78-92.
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    28. Niu, Xiaojian & Niu, Xiaoli & Wu, Kexing, 2021. "Implicit government guarantees and the externality of portfolio diversification: A complex network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    29. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    30. D.J. Johnstone, 2015. "Information and the Cost of Capital in a Mean-Variance Efficient Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 79-100, January.
    31. William H. Branson & Dwight M. Jaffee, 1990. "The Globalization of Information and Capital Mobility," NBER Working Papers 3496, National Bureau of Economic Research, Inc.
    32. Richard Lambert & Christian Leuz & Robert E. Verrecchia, 2007. "Accounting Information, Disclosure, and the Cost of Capital," Journal of Accounting Research, Wiley Blackwell, vol. 45(2), pages 385-420, May.
    33. Christian Leuz & Peter D. Wysocki, 2016. "The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research," Journal of Accounting Research, Wiley Blackwell, vol. 54(2), pages 525-622, May.
    34. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
    35. John E. Core & Luzi Hail & Rodrigo S. Verdi, 2015. "Mandatory Disclosure Quality, Inside Ownership, and Cost of Capital," European Accounting Review, Taylor & Francis Journals, vol. 24(1), pages 1-29, May.
    36. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc.
    37. Karagiannidis, Iordanis & Vozlyublennaia, Nadia, 2016. "Limits to mutual funds' ability to rely on mean/variance optimization," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 282-292.
    38. Xuejing Xing & Shan Yan, 2019. "Accounting information quality and systematic risk," Review of Quantitative Finance and Accounting, Springer, vol. 52(1), pages 85-103, January.
    39. George M. Frankfurter & Christopher G. Lamoureux, 1989. "Estimation And Selection Bias In Mean-Variance Portfolio Selection," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 173-181, June.
    40. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.

  49. Brown, Stephen J, 1977. "Heteroscedasticity in the Market Model: A Comment," The Journal of Business, University of Chicago Press, vol. 50(1), pages 80-83, January.

    Cited by:

    1. Bill McDonald & Michael H. Morris, 1983. "The Existence Of Heteroscedasticity And Its Effect On Estimates Of The Market Model Parameters," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 115-126, June.
    2. Moy, Ronald L. & Lee, Ahyee & Chen, Thomas P., 1997. "Multivariate tests of the capm under heteroskedasticity: A note," International Review of Economics & Finance, Elsevier, vol. 6(4), pages 431-439.
    3. Son-Nan Chen, 1979. "Re-Examining The Market Model Given Evidence Of Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(2), pages 111-118, September.

Chapters

  1. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2005. "Fees On Fees In Funds Of Funds," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 7, pages 141-160, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Brown,Stephen J. & Sibley,David Sumner, 1986. "The Theory of Public Utility Pricing," Cambridge Books, Cambridge University Press, number 9780521314008.

    Cited by:

    1. Roland, M. & Bernard, J.T., 1996. "Load Management Programs, Cross-Subsidies and Transaction Costs: The Case of Self-Rationing," Papers 9617, Laval - Recherche en Energie.
    2. Robert H. Patrick & Frank A. Wolak, 2001. "Estimating the Customer-Level Demand for Electricity Under Real-Time Market Prices," NBER Working Papers 8213, National Bureau of Economic Research, Inc.
    3. Daruwala, Farhad & Denton, Frank T. & Mountain, Dean C., 2020. "One size may not fit all: Welfare benefits and cost reductions with optional differentiated household electricity rates," Resource and Energy Economics, Elsevier, vol. 61(C).
    4. Bernd Skiera & Inken Revenstorff, 1999. "Auktionen als Instrument zur Erhebung von Zahlungsbereitschaften," Schmalenbach Journal of Business Research, Springer, vol. 51(3), pages 224-242, March.
    5. Simon P. Anderson & Régis Renault, 2011. "Price Discrimination," Chapters, in: André de Palma & Robin Lindsey & Emile Quinet & Roger Vickerman (ed.), A Handbook of Transport Economics, chapter 22, Edward Elgar Publishing.
    6. Sibly, Hugh & Tooth, Richard, 2014. "The consequences of using increasing block tariffs to price urban water," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 58(2), April.
    7. Helmut Gründl & Hato Schmeiser, 2007. "Capital Allocation for Insurance Companies—What Good IS IT?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 301-317, June.
    8. Müller, Gernot, 2006. "Zur Ökonomie von Trassenpreissystemen," WIK Discussion Papers 279, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
    9. Nikolay Gospodinov & Ian Irvine, 2005. "A ‘long march’ perspective on tobacco use in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(2), pages 366-393, May.
    10. Alberto Cassone & Carla Marchese, 2005. "Welfare Effects of Price Integration in Local Public Transport," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 76(2), pages 257-274, June.
    11. Hörcher, Daniel & Tirachini, Alejandro, 2021. "A review of public transport economics," Economics of Transportation, Elsevier, vol. 25(C).
    12. Diakité, Daouda & Semenov, Aggey & Thomas, Alban, 2009. "A proposal for social pricing of water supply in Côte d'Ivoire," Journal of Development Economics, Elsevier, vol. 88(2), pages 258-268, March.
    13. B. Stephen Labson, 1996. "Pricing Water For Power Generation: A Two-Tier Approach," Economic Papers, The Economic Society of Australia, vol. 15(3), pages 57-63, September.
    14. Chisari, Omar & Ferro, Gustavo, 2011. "Tópicos de Economía de la Regulación de los Servicios Públicos," UADE Textos de Discusión 65_2011, Instituto de Economía, Universidad Argentina de la Empresa.
    15. Braouezec, Yann, 2016. "On the welfare effects of regulating the number of discriminatory prices," Research in Economics, Elsevier, vol. 70(4), pages 588-607.
    16. Hörcher, Daniel & Graham, Daniel J., 2020. "MaaS economics: Should we fight car ownership with subscriptions to alternative modes?," Economics of Transportation, Elsevier, vol. 22(C).
    17. Castaldo Angelo & Nicita Antonio, 2007. "Essential Facility Access in Europe: Building a Test for Antitrust Policy," Review of Law & Economics, De Gruyter, vol. 3(1), pages 83-110, April.
    18. Paolo Bertoletti, 2021. "Ramsey pricing: a simple example of a subordinate commodity," Working Papers 459, University of Milano-Bicocca, Department of Economics.
    19. Walter Cont & Fernando Navajas & Francisco Pizzi & Alberto Porto, 2020. "Precios y tarifas de servicios públicos. Evolución. 1945-2018," Asociación Argentina de Economía Política: Working Papers 4328, Asociación Argentina de Economía Política.
    20. Pang‐Ryong Kim, 1997. "The Effect of Profit Regulations on Combined Two‐Part and Peak‐Load Pricing," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 238-247, September.
    21. David Encaoua & Michel Moreaux, 1987. "L'analyse théorique des problèmes de tarification et d'allocation des coûts dans les télécommunications," Revue Économique, Programme National Persée, vol. 38(2), pages 375-414.
    22. Schlereth, Christian & Stepanchuk, Tanja & Skiera, Bernd, 2010. "Optimization and analysis of the profitability of tariff structures with two-part tariffs," European Journal of Operational Research, Elsevier, vol. 206(3), pages 691-701, November.
    23. Farid Gasmi & Michel Moreaux & William Sharkey, 2000. "Strategic nonlinear pricing," Journal of Economics, Springer, vol. 71(2), pages 109-131, June.
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