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Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Citations

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Cited by:

  1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  2. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  3. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  4. Khemka, Gaurav & Steffensen, Mogens & Warren, Geoffrey J., 2021. "How sub-optimal are age-based life-cycle investment products?," International Review of Financial Analysis, Elsevier, vol. 73(C).
  5. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  6. 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.
  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. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  9. Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Burned by leverage? Flows and fragility in bond mutual funds," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 354-380.
  10. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  11. Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018. "Unobserved Performance of Hedge Funds," Working Papers on Finance 1825, University of St. Gallen, School of Finance.
  12. Jesse M. Keenan, 2018. "Regional resilience trust funds: an exploratory analysis for leveraging insurance surcharges," Environment Systems and Decisions, Springer, vol. 38(1), pages 118-139, March.
  13. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  14. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  15. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  16. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
  17. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
  18. Sun, Lin & Teo, Melvyn, 2019. "Public hedge funds," Journal of Financial Economics, Elsevier, vol. 131(1), pages 44-60.
  19. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  20. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
  21. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
  22. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
  23. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  24. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
  25. Rácz, Dávid Andor, 2019. "Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása [Performance evaluation of absolute return funds - Detecting performance manipulation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 824-846.
  26. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
  27. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  28. Bahaji, Hamza & Aberkane, Salah, 2016. "How rational could VIX investing be?," Economic Modelling, Elsevier, vol. 58(C), pages 556-568.
  29. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  30. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
  31. Vigile Marie Fabella & Georgi Kocharkov, 2016. "From planning to chaos to market: Ethnic inequality in Bulgaria," Working Paper Series of the Department of Economics, University of Konstanz 2016-08, Department of Economics, University of Konstanz.
  32. Haoyue Zhang & Dayong Lv & Wenfeng Wu, 2022. "Why do bank‐affiliated mutual funds perform better in China?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4755-4782, December.
  33. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
  34. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
  35. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
  36. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  37. 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.
  38. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
  39. Mark D. Flood & Phillip Monin & Lina Bandyopadhyay, 2015. "Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures," Working Papers 15-13, Office of Financial Research, US Department of the Treasury.
  40. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers amz2561, Yale School of Management, revised 01 Oct 2009.
  41. Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2022. "Momentum-Managed Equity Factors," Journal of Banking & Finance, Elsevier, vol. 137(C).
  42. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  43. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
  44. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 95-109.
  45. Lin, Junqin & Wang, Fan & Wei, Lijian, 2021. "Alumni social networks and hedge fund performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
  46. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2010. "Caught in the act: How hedge funds manipulate their equity positions," CFR Working Papers 10-15, University of Cologne, Centre for Financial Research (CFR).
  47. Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic, 2019. "Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 15-30, February.
  48. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  49. Jesse M. Keenan & Anurag Gumber, 2019. "California climate adaptation trust fund: exploring the leveraging of cap-and-trade proceeds," Environment Systems and Decisions, Springer, vol. 39(4), pages 454-465, December.
  50. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
  51. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
  52. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
  53. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  54. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
  55. Sylvain Chassang, 2013. "Calibrated Incentive Contracts," Econometrica, Econometric Society, vol. 81(5), pages 1935-1971, September.
  56. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
  57. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
  58. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  59. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  60. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
  61. Markus Baldauf & Christoph Frei & Joshua Mollner, 2022. "Principal Trading Arrangements: When Are Common Contracts Optimal?," Management Science, INFORMS, vol. 68(4), pages 3112-3128, April.
  62. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  63. Zhongzhi Lawrence He, 2018. "Generalized Information Ratio," Papers 1803.01381, arXiv.org, revised Apr 2018.
  64. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
  65. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
  66. Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
  67. Sensoy, Berk A., 2009. "Performance evaluation and self-designated benchmark indexes in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 25-39, April.
  68. David Lagziel & Ehud Lehrer, 2021. "Transferable deposits as a screening mechanism," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 483-504, March.
  69. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
  70. Adam, Tim & Güttler, André, 2015. "Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds," SFB 649 Discussion Papers 2015-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  71. Rebonato, Riccardo & Ronzani, Riccardo, 2021. "Is convexity efficiently priced? Evidence from international swap markets," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 392-413.
  72. 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.
  73. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
  74. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
  75. Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011. "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, vol. 101(3), pages 574-595, September.
  76. 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.
  77. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  78. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
  79. Jun, Xiao & Ren, He & Sun, Ping-Wen, 2021. "Deriving managerial skills by dissecting holding changes of mutual funds: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  80. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
  81. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
  82. Vokata, Petra, 2021. "Engineering lemons," Journal of Financial Economics, Elsevier, vol. 142(2), pages 737-755.
  83. Dean P. Foster & H. Peyton Young, 2012. "A strategy-proof test of portfolio returns," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 671-683, March.
  84. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
  85. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
  86. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
  87. 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.
  88. Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, C.E.P.R. Discussion Papers.
  89. Cerrato, Mario & Crosby, John & Kaleem, Muhammad, 2011. "Measuring the Economic Significance of Structural Exchange Rate Models," SIRE Discussion Papers 2011-62, Scottish Institute for Research in Economics (SIRE).
  90. Psaradellis, Ioannis & Laws, Jason & Pantelous, Athanasios A. & Sermpinis, Georgios, 2023. "Technical analysis, spread trading, and data snooping control," International Journal of Forecasting, Elsevier, vol. 39(1), pages 178-191.
  91. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
  92. Dirk Löhr, 2017. "Zur Ermittlung eines marktgerechten Erbbauzinses – ein Praktikermodell [Assessment of market-oriented ground rents – a practice-oriented model]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 3(1), pages 1-19, April.
  93. Xue Jiang & Liyan Han & Libo Yin, 2019. "Can skewness of the futures‐spot basis predict currency spot returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1435-1449, November.
  94. 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.
  95. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  96. Markus Natter, 2018. "Options‐based benchmark indices—A review of performance and (in)appropriate measures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 271-288, February.
  97. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
  98. 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.
  99. Malakhov, Alexey & Riley, Timothy B. & Yan, Qing, 2024. "Do hedge funds bet against beta?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1507-1525.
  100. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
  101. 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.
  102. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
  103. Ranadeb Chaudhuri & Zoran Ivković & Joshua Pollet & Charles Trzcinka, 2020. "A Tangled Tale of Training and Talent: PhDs in Institutional Asset Management," Management Science, INFORMS, vol. 66(12), pages 5623-5647, December.
  104. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  105. 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.
  106. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
  107. Ziemowit Bednarek & Pratish Patel & Cyrus A. Ramezani, 2016. "Time aggregation of the Sharpe ratio," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 540-555, December.
  108. Yu, Bin & Shen, Yifan & Jin, Xuejun & Xu, Qi, 2022. "Does prospect theory explain mutual fund performance? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  109. Yin, Ximing & Yang, Ge, 2024. "Instantaneous volatility of the yield curve, variance risk premium and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 77(C).
  110. Bork, Lasse & Kaltwasser, Pablo Rovira & Sercu, Piet, 2022. "Aggregation bias in tests of the commodity currency hypothesis," Journal of Banking & Finance, Elsevier, vol. 135(C).
  111. Aragon, George O. & Spencer Martin, J., 2012. "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 436-456.
  112. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 53-74, July.
  113. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  114. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
  115. Auer, Benjamin R. & Marohn, Marcel, 2024. "Computational dynamics of information ratios," Economics Letters, Elsevier, vol. 236(C).
  116. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
  117. 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).
  118. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
  119. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
  120. C. Wei Li & Ashish Tiwari & Lin Tong, 2017. "Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior," Management Science, INFORMS, vol. 63(8), pages 2509-2528, August.
  121. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
  122. Mark D. Flood & Phillip Monin, 2016. "Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios," Working Papers 16-02, Office of Financial Research, US Department of the Treasury.
  123. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
  124. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
  125. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  126. Lu Li & Yang Li & Xueding Wang & Tusheng Xiao, 2020. "Structural holes and hedge fund return comovement: evidence from network‐connected stock hedge funds in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2811-2841, September.
  127. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  128. Tirapat, Sunti & Visaltanachoti, Nuttawat, 2013. "Opportunistic insider trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1046-1061.
  129. Foster, Dean P. & Young, H. Peyton, 2011. "A Strategy-Proof Test of Portfolio Returns," Working Papers 11-50, University of Pennsylvania, Wharton School, Weiss Center.
  130. Bernhard Breloer & Hannah Lea Hühn & Hendrik Scholz, 2016. "Jensen alpha and market climate," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 195-214, May.
  131. Nicos Koussis & Michalis Makrominas, 2015. "Growth options, option exercise and firms’ systematic risk," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 243-267, February.
  132. Kim, Donghyun & Li, Chengcheng & Wang, Xiaoqiong, 2021. "Risk-taking and performance of government bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 76(C).
  133. Zhichao Zhang & Li Ding & Si Zhou & Yaoyao Fu, 2014. "Fund Family Tournament and Performance Consequences: Evidence from the UK fund industry," Multinational Finance Journal, Multinational Finance Journal, vol. 18(1-2), pages 43-84, March - J.
  134. Michel Verlaine, 2010. "Risk Governance for funds," Cahiers du CEREFIGE 1003, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2010.
  135. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  136. repec:hum:wpaper:sfb649dp2015-017 is not listed on IDEAS
  137. Ammann, Manuel & Fischer, Sebastian & Weigert, Florian, 2020. "Factor exposure variation and mutual fund performance," CFR Working Papers 20-06, University of Cologne, Centre for Financial Research (CFR).
  138. Choi, Jaewon & Kronlund, Mathias & Oh, Ji Yeol Jimmy, 2022. "Sitting bucks: Stale pricing in fixed income funds," Journal of Financial Economics, Elsevier, vol. 145(2), pages 296-317.
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