The excess returns earned by takeover targets raises questions of efficiency in the market
for corporate control. Brown and Raymond and Samuelson and Rosenthal explain the target
share pricing process as a function of ...
We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge ...
We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from
January 1980 to August 2004. We construct single equation and VAR models of the relation ...
Using daily price and volume data on 112 of the largest takeover targets in Australia
during the period from 1985 to 1993, we find that conditional price volatility declines after
the takeover announcement. This decline ...
Unlike mutual and pension funds, which are heavily regulated in most juristrictions, hedge funds are largely unregulated. Because they are not required to report to regulators and to the public, data on hedge fund performance ...
Using a sample of 117 Irish software companies, we examine the capital structure of new technology-based firms. Consistent with the findings on financing for other small businesses, internal funds are the most important ...
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a ...
This paper investigates the risk-return relationship in determination of housing asset
pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and
Shiller (1988, 2002, 2009) in studies of boom ...