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Citations for "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry"

by Stephen J. Brown

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  1. Basak, Suleyman & Makarov, Dmitry, 2012. "Difference in interim performance and risk taking with short-sale constraints," Journal of Financial Economics, Elsevier, vol. 103(2), pages 377-392.
  2. Campbell, T. Colin, 2014. "CEO optimism and the board's choice of successor," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 495-510.
  3. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, 09.
  4. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  5. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3291-3310, November.
  6. Kolokolova, Olga, 2011. "Strategic behavior within families of hedge funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1645-1662, July.
  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. Kazemi, Maziar & Islamaj, Ergys, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
  9. Jenke Ter Horst & Marno Verbeek, 2007. "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, vol. 11(4), pages 605-632.
  10. 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.
  11. Bradley Jones, 2015. "Asset Bubbles; Re-thinking Policy for the Age of Asset Management," IMF Working Papers 15/27, International Monetary Fund.
  12. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2006. "Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation," NBER Working Papers 12015, National Bureau of Economic Research, Inc.
  13. Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010. "Econometric Models and the Evolution of Post-Offices Network," IDEI Working Papers 626, Institut d'Économie Industrielle (IDEI), Toulouse.
  14. Anastasia Petraki & Anna Zalewska, 2013. "With whom and in what is it better to save? Personal pensions in the UK," The Centre for Market and Public Organisation 13/304, Department of Economics, University of Bristol, UK.
  15. Lee, Hee Soo & Kim, Tae Yoon, 2014. "Dynamic prediction of hedge fund survival in crisis-prone financial markets," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 57-67.
  16. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
  17. Adam Zaremba, 2010. "Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements," Contemporary Economics, University of Finance and Management in Warsaw, vol. 4(4), pages -, December.
  18. Brown, Stephen J., 2001. "Hedge funds: Omniscient or just plain wrong," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 301-311, August.
  19. Rania Hentati Kaffel & Philippe De Peretti, 2015. "Generalized Runs Tests to Detect Randomness in Hedge Funds Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161666, HAL.
  20. 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.
  21. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," The School of Economics Discussion Paper Series 1507, Economics, The University of Manchester.
  22. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Do hedge funds manage their reported returns?," CFR Working Papers 07-09, University of Cologne, Centre for Financial Research (CFR).
  23. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  24. 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, November.
  25. Jonathan Wiley, 2014. "Illiquidity Risk in Non-Listed Funds: Evidence from REIT Fund Exits and Redemption Suspensions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 205-236, August.
  26. 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).
  27. 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.
  28. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  29. Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," NBER Working Papers 11728, National Bureau of Economic Research, Inc.
  30. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.
  31. Dijk, Oege & Holmen, Martin & Kirchler, Michael, 2014. "Rank matters–The impact of social competition on portfolio choice," European Economic Review, Elsevier, vol. 66(C), pages 97-110.
  32. Rui de Figueiredo & Evan Rawley & Orie Shelef, 2014. "Bad Bets: Excessive Risk Taking, Convex Incentives, and Performance," Discussion Papers 13-002, Stanford Institute for Economic Policy Research.
  33. 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.
  34. Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
  35. Raghuram G. Rajan, 2006. "Has Finance Made the World Riskier?," European Financial Management, European Financial Management Association, vol. 12(4), pages 499-533.
  36. Quoc-Anh Do & Bang Dang Nguyen & Raghavendra- University Of Cambridge, Cambridge Judge Business School) Rau, 2013. "Sugar and Spice and Everything Nice: What Are Good Directors Made of?," Sciences Po publications info:hdl:2441/69eil0vrec8, Sciences Po.
  37. repec:pri:cepsud:104malkiel is not listed on IDEAS
  38. Jens Carsten Jackwerth & James E. Hodder, 2005. "Incentive Contracts and Hedge Fund Management," CoFE Discussion Paper 05-02, Center of Finance and Econometrics, University of Konstanz.
  39. 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.
  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. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  42. Daniel Capocci & Albert Corhay & Georges Hubner, 2005. "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 361-392.
  43. repec:eme:qrfmpp:v:1:y:2009:i:2:p:106=120 is not listed on IDEAS
  44. Dichev, Ilia D. & Yu, Gwen, 2011. "Higher risk, lower returns: What hedge fund investors really earn," Journal of Financial Economics, Elsevier, vol. 100(2), pages 248-263, May.
  45. Gregory Connor & Mason Woo, 2004. "An Introduction to hedge funds," LSE Research Online Documents on Economics 24675, London School of Economics and Political Science, LSE Library.
  46. Suleyman Basak & Dmitry Makarov, 2013. "Competition among Portfolio Managers and Asset Specialization," Working Papers w0194, Center for Economic and Financial Research (CEFIR).
  47. Marina Agranov & Alberto Bisin & Andrew Schotter, 2014. "An experimental study of the impact of competition for Other People’s Money: the portfolio manager market," Experimental Economics, Springer;Economic Science Association, vol. 17(4), pages 564-585, December.
  48. Alex Grecu & Burton G. Malkiel & Atanu Saha, 2006. "Why Do Hedge Funds Stop Reporting Their Performance?," Working Papers 78, Princeton University, Department of Economics, Center for Economic Policy Studies..
  49. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
  50. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
  51. 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 235-338 National Bureau of Economic Research, Inc.
  52. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," TSE Working Papers 10-174, Toulouse School of Economics (TSE).
  53. Palaskas Theodosios & Stoforos Chrysostomos & Drakatos Costantinos, 2013. "Hedge Funds Development and their Role in Economic Crises," Annals of the Alexandru Ioan Cuza University - Economics, De Gruyter Open, vol. 60(1), pages 168-181, July.
  54. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
  55. Steven Malliaris & Hongjun Yan, 2008. "Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices," Yale School of Management Working Papers amz2380, Yale School of Management, revised 01 Mar 2009.
  56. Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012. "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3302-3317.
  57. Mason Woo & Gregory Connor, 2004. "(IAM Series No 002) An Intro to Hedge Funds," FMG Discussion Papers dp477, Financial Markets Group.
  58. 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.
  59. 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).
  60. 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.
  61. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2015. "Costs and benefits of financial regulation: Short-selling bans and transaction taxes," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 103-118.
  62. 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.
  63. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
  64. Kempf, Alexander & Ruenzi, Stefan, 2004. "Tournaments in mutual fund families," CFR Working Papers 04-02, University of Cologne, Centre for Financial Research (CFR).
  65. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
  66. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
  67. Burton G. Malkiel & Atanu Saha, 2004. "Hedge Funds: Risk and Return," Working Papers 98, Princeton University, Department of Economics, Center for Economic Policy Studies..
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