Author(s): Andrew Clare, Nick Motson, Cass Business School, City University London
In this paper we investigate the influence of two factors on the risk taking behaviour of hedge fund managers. The first factor is the past performance of the fund relative to the performance of each fund's peer. The second is the option-like features of the typical hedge fund manager's compensation structure.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 70
Author(s): Keith Cuthbertson, Dirk Nitzsche, Cass Business School, Stuart Hyde, Manchester Business School, University of Manchester
There have been major advances in both theory and econometric techniques in mainstream macro-models and parallel advances in knowledge of the monetary transmission mechanism acting via asset prices. At the same time, behavioural finance has provided evidence that not all actors in the economy are fully rational and this has influenced models of asset pricing on which part of the monetary policy transmission mechanism depends.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 55
Author(s): Keith Cuthbertson, Dirk Nitzsche, Cass Business School, Niall O'Sullivan, National University of Ireland
We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 90
Author(s): Daniel Giamouridis, Cass Business School, Ioannis Vrontos, Athens University of Economics and Business
This paper studies hedge fund return predictability in a multivariate setting.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 57
Author(s): Daniel Giamouridis, Cass Business School, Konstantinos Sakellariou, EFG MFMC S.A.
This paper investigates the short-term performance of Greek mutual funds.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 69
