Much is expected of the modern corporation. Shareholders seeking to maximize their return on investment pay close attention to reported earnings and stock price appreciation. Unanticipated negative movements in these variables can give rise to shareholder agitation, amplified by hedge funds and activist pension funds. Although this is characteristic of the Anglo-American ‘market for corporate c...

On average, hedge funds experience slow failures rather than sudden crashes. I model a fund’s probability of failure using a dynamic logit regression and find that fund failures are predicted by even 7-month lagged information. Hedge funds fail slowly as investors withdraw their funds over a period of time because of poor performance. Also, longer share restriction periods and the presence of m...

The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...

This paper examines liquidity premium focusing on the difference between offshore and onshore hedge funds. Due to tax provisions and regulatory concerns, offshore and onshore hedge funds have different legal structures, which lead to differences in share restrictions such as a lockup provision. We find that offshore investors collect higher illiquidity premium when their investment has the same...

There is little micro-economic evidence of the macroeconomic argument of excessive borrowing and overinvestment in East Asia before the crisis of 1997. Using firmlevel panel data-set from four Asian countries, this paper examines the efficiency of internal and external funds and compares the rates of return to these funds. We obtain selectivity-corrected random effects estimates of rates of ret...

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their pointwise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter’s influence on periodic contributions and/or future benefits. However, in periods of market crisis attention is focused on the risk level given their social secu...

The purpose of this paper is to identify ex ante fund statistics that can be related to future performance of European equity funds. In an efficient market setting, actively managed portfolios cannot outperform a passive benchmark strategy. However, purely by chance, some funds outperform their benchmark ex post, making the identification of performance determinants a difficult task. To allevia...

This paper addresses a problem of finding portfolios that perform better than investment funds while showing similar behaviour. The quality of investment portfolio can be measured using various criteria such as the return and some kind of risk measurement. Investors seek to maximize return while minimizing risk. In order to achieve this goal various instruments are considered. One of the possib...