Are Brazil’s multimercado funds for Real?
Brazil's "multimercado" funds are often described as a form of well-regulated hedge funds. But new research suggests that may be stretching the truth just a little.
View ArticleStudy: Public pension funds in a dangerous race with one another. Should...
A study of 125 U.S. state pension plans reveals that management incentives, misguided accounting standards and conflicting interests could perpetuate a funding gap roller coaster.
View ArticleCan networking actually be a bad thing for hedge funds?
A recent study suggests to at least one mass media outlet that hedge funds should mind their own business and not by nosy about other hedge funds' trades. But a closer reading of the study suggests to...
View ArticleCan networking actually be a bad thing for hedge funds?
By: Charles Baden-Fuller, Simone Ferriani, Stefano Mengoli, Vanina Torlo Published: April 2011 Abstract: When actors invest in making strong network ties (relationships) with other actors, such ties...
View ArticleImproved Estimates of Higher-Order Comoments and Implications for Portfolio...
By: Lionel Martellini, Volker Ziemann Published: June 2011 Abstract: In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for...
View ArticleBlowing bubbles and capturing them in real time
Some new research shows that it may be possible to mathematically determine a bubble before it forms, let alone pops.
View ArticleAlternative options: Hedge fund redomiciliation trends in evolving markets
By: Thomas N. Trkla Published: June 2011 Abstract: This study explores these themes in more detail in advance of the launch of the AIFMD to assess the appetite for the redomiciliation of hedge funds in...
View ArticleInstitutional investors found to be a “destabilizing” influence – but only...
A paper published by he European Central Bank this month argues that purely-financial investors do indeed "destabilize" oil prices by indiscriminately allocating capital to oil futures.
View ArticleDo Financial Investors Destabilize the Oil Price?
By: Marco J. Lombardi, Ine Van Robays Published: June 2011 Abstract: In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil...
View ArticleRaising Capital from Single-Family Offices: Considerations for Financial Firms
By: Forbes Published: June 2011 Abstract: In the first quarter of 2011, we surveyed the Executive Directors of 151 single-family offices on an array of topics. To be included in this sample, the...
View ArticleAttribution Analysis of Bull/Bear Alphas and Betas with Applications to...
By: Andreas Steiner Published: June 2011 Abstract: In this research note, we will discuss a specific asymmetrical model and build an attribution framework which allows relating the effects of asymmetry...
View ArticleOn the High-Frequency Dynamics of Hedge Fund Risk Exposures
By: Tarun Ramadorai, Andrew J. Patton Published: June 2011 Abstract: We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample...
View ArticleActivist Hedge Funds: War for the Hearts & Minds of Accountants
Corporate CEOs aren't the only ones who dread the appearance of activist hedge fund managers on their radar screens. Activists are giving the accounting departments pause as well, according to a new...
View ArticleStudy finds that an increase in assets isn’t all that great after all. But it...
What happens when a hedge fund gets a windfall of new investment dollars?
View ArticleLooking at an Ink Blot, Seeing a Green Light
International Monetary Fund research shows that speculation does not influence the commodities markets.
View ArticleEDHEC on CDS Speculators and Eurozone Bonds
The relationship between two markets that O’Kane posits might almost be taken as a paradigm of the difference between Granger causation and physical causation. Consider the case of two distinct radar...
View ArticleEDHEC Survey: Contracts, Not Regulation, Should Clarify Restitution
The issue of restitution for loss has been very much on the midns of the asset management industry over the last four years. As EDHEC observes in its new report on non-financial risks, “The collapse of...
View ArticleQuick Course: 140 Years of Panics and Policy
Should a lender of last resort lower interest rates to near zero in the hope that liquidity will drown systemic sorrows? Bagehot argues for a contrary approach. The interest rates for loans made to...
View ArticleIf the CFO Says He Feels ‘Fantastic,’ Sell Short
Investors want to know whether the executives are speaking deceptively well before the restatement is filed. In order to help with that goal, Larcker and Zakolyukina in the paper, “Detecting Deceptive...
View ArticleLending Securities: Which Mutual Funds Do It Best
A newly released paper concludes that the returns many mutual funds make from lending their portfolio securities increase as the directors on their boards become more independent. Separately, it is a...
View ArticlePost-Keynesian Smackdown at Columbia
The dispute framed by a June 3d debate at Columbia Law School will define the future (and no very-distant future either) of economic policy in the western world and of the fate of all the currencies...
View ArticleMore on the Post-Keynesian Smackdown: Subway Tokens Edition
Mosler is perfectly willing to have governments create money for their own spending. He does not see that as necessarily inflationary, apparently because the same governments can always tamp down on...
View ArticleStop Loss (and Gain) Rules as Alpha Generators
A strategy based largely on stop-loss and stop-gain rules, one that uses such rules as the sole means of shifting assets from one asset class to another, can earn statistically significant CAPM alpha,...
View ArticleIndex Provider Transparency: End Users Unimpressed
Europe's index providers, by their own account, already have strong incentives to offer optimal transparency and, in their self-interest, they do so. A survey and report from EDHEC examines this claim.
View ArticlePrivate Lawsuits Over Order Types Used to Facilitate HFT
HFTs and trading venues alike have worked hard to fit their practices into the Reg NMS framework. As a consequence, violations of NMS “are unlikely” Dolgopolov writes, “to provide a basis for civil...
View ArticleTraders Sometimes Want Macro-News to Be Free
There exists “robust evidence of informed trading during lockup periods ahead of the Federal Open Market Committee … monetary policy announcements” say three authors. Some agencies can embargo news...
View ArticleWinner Takes All, and Liquidity Takers Win
It does appear that speed is helpful in generating alpha. How is it helpful? Here there are two views, and the less HFT-friendly of these views has received some scholarly/empirical support.
View ArticleBurr XII, Extreme Value, and a Fantasy
The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error...
View ArticleLiquidity Makers and Takers: A Nobel Prize
The latest Economics Award has drawn the attention of the world briefly to a body of work that has a number of points of interest for the alt-investment community.
View ArticleHedge vs. Mutual Funds and the ‘Timing of Information Acquisition’
A new paper by a scholar at the McCombs School of Business looks at what causes what on Wall Street, starting with how (if at all) analyst downgrades cause price declines.
View ArticleIf You’re So Smart, Why Aren’t You Rich?
A new paper by a senior market economist at BNP Paribas celebrates the invention of Learning Vector Quantization (LVQ), a machine-learning algorithm that could enable some smart economists to get very...
View ArticleExplaining Why the Portfolio-Barbell Works
Most efforts to introduce "entropy" into finance have seen it as a quantity to be minimized. A new paper, which begins as an effort to explain barbell portfolios, uses entropy in a different manner....
View ArticlePrize to Sannikov: Scholar of Friction and Moral Hazard
In a fascinating review article, Sannikov and his co-authors distinguished among the sorts of liquidity, and thus identified the precise sort of liquidity mismatch likely to lead to market shocks. In a...
View ArticleWho Is Yanis Varoufakis? And Does it Matter?
Varoufakis believes in the single Eurozone currency. It is unlikely that the government that just appointed him Finance Minister plans to pull out of that zone and bring back the drachma.
View ArticleDown Memory Lane: That WTI-Brent Divergence
For one professor, the surprising divergence in the prices of WTI/Brent crude in the period 2010-2012 was a case study in how commodity prices can teach us about supply chain conditions. Faille looks...
View ArticleAlpha, Love, and Marriage
The most important turning points of our lives tend to have consequences for our alpha seeking. A new paper gives us some insight into what those consequences are, and how they vary as to strategies.
View ArticleIntraday Momentum Confirmed: Day Traders Credited
The first half-hour return of the S&P 500 ETF predicts the last half-hour return of the same trading day rather well. Why isn't this effect arbitraged away and a random walk restored?
View ArticleEDHEC: Smart Beta Indexes May Be On a Launch Pad
There have been "a considerable number of product launches in the area of smart beta ETFs," but investors are eager for more, perhaps in the hope the developers will get beyond the "few popular...
View ArticleJohn H. Makin, Hedge Fund Economist/Principal, Defender of U.S. Fed
The impression one gets from some of the recent work of Dr. Makin is of a man who decided, late in life, that currency is a state invention, and that the states deputize their central banks to make...
View ArticleEDHEC: Geography is Not Just a Listing or Headquarters
Indexes labeled as representing developed market equity include companies with significant and increasing exposure to macro-economic trends in the emerging markets. A portfolio that tracks such an...
View ArticleStudy: Corporate/Government Cronyism Does Create Alpha
A new report finds that firms where current public officials are destined to become employees outperform other private firms by 7.43% per year during the three years before the officials/employees pass...
View ArticleCorporate Governance: Sunday in the Park With George
The controversy over corporate governance, and whether the changes favored by reformers show up as superior corporate performance (as measured, for example, by Tobin's q) strikes Faille as dangerously...
View ArticleActivism: Why the Short-termers Can Be Right
Much of the ubiquitous talk of the short-sightedness of nasty activist investors or traders is simply confused, analytically sloppy. It is a sort of confusion likely to have negative consequences to...
View ArticleEuropean Investor Satisfaction with Smart Beta ETFs
Two authors at EDHEC remind us that 15% of the assets in any ETF or ETF-like products for European investors were in smart-beta indexed products as of August 2014, and that this amount is growing. They...
View ArticleThe Old Puzzle of SRI: India and France
The conclusion of two Indian scholars in a new study supports the view that socially responsible investing is good for investors in India. But Faille worries that the battle-of-the-studies has thus far...
View Article‘Women of the Street’—Not Just Another War Story
Meredith Jones' book on investing in women takes it to the Street and comes back with some solid conclusions.
View ArticleCrisis? Tempted to Flee to Shelter of Big Funds? Bad Idea
The authors of a new study of the relationship between fund size and performance employ a database consisting of 7,261 funds and their performance over a twenty year period (1994 to 2014). Spoiler...
View ArticleCause and Effect: Or, Shooting the Messenger
Not even Schrodinger blamed the reporters for market irrationality. Saying out loud, "Hey, this cat is dead," doesn't kill the cat.
View ArticleSupreme Court Decisions: Post-Announcement Hours & Days
Presumably the U.S. Supreme Court's decision, in December 2008, that states can in fact make and enforce tougher labeling standards for cigarettes than does the federal government was a negative for...
View ArticleA Fresh Look at Bubbles: Revising Assumptions
If it is possible for bubbles to arise in frictionless circumstances, then it follows that any theory that treats bubbles as the consequence of friction is, at very best, incomplete. And that is...
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