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Second Quarter (2012)

0 comments / 14/07/2014 / the JOIM / Archives, Articles

When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

Jason C. Hsu, Hideaki Kudoh and Toru Yamada Volume 11, Number 2, Second Quarter 2013 Using a global equity dataset that includes emerging markets, we confirm that high-volatility stocks tend to deliver low average returns; this effect is robust to adjustments for country and style factors. We also show that sell-side analysts earnings growth forecasts… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Price Inflation and Wealth Transfer During the 2008 SEC Short-Sale Ban

Lawrence E. Harris, Ethan Namvar and Blake Phillips We estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to price inflation of 10-12% in the banned stocks based on a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned. This inflation… Read more

0 comments / 14/07/2014 / / Archives, Book Reviews, Special Issues

BOOK REVIEWS: Financial Risk Management – Models, History, and Institutions

Volume 10, Number 2, Second Quarter 2012 Financial Risk Management – Models, History, and Institutions By Allan M. Malz Reviewed by Bruce Grantier View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Case Studies, Special Issues

CASE STUDIES: The Race Between the Work Force and Investment

Jack L. Treynor Volume 10, Number 2, Second Quarter 2012 View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

The Downside of High Water Marks: An Empirical Study

Sugata Ray Volume 10, Number 2, Second Quarter 2012 Using a large sample of hedge funds, I study the effects of the high water mark (HWM) on fund performance, risk, and fund closure. I find that as funds fall below the HWM, the standard deviation of future returns increases, the future expected Sharpe ratio decreases… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Insight, Special Issues

Insights: On the Kurz Model of Asset Prices with Rational Beliefs

Craig W. French Volume 10, Number 2, Second Quarter 2012 Mordecai Kurz has proposed an asset pricing model incorporating endogenous uncertainty. Kurz contrasts Rational Belief Equilibrium (RBE) with the more familiar theory of Rational Expectations Equilibrium (REE). In RBE, the aggregate market will generally misprice assets and stock returns can be explained by forecasting mistakes… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

Hedge-Fund Performance and Liquidity Risk

Ronnie Sadka Volume 10, Number 2, Second Quarter 2012 This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important predictor of hedge fund performance. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6.5%… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

Asset Allocation Dynamics in the Hedge Fund Industry

Li Cai and Bing Liang Volume 10, Number 2, Second Quarter 2012 This paper examines asset allocation dynamics of hedge funds through conducting optimal change point test on an asset class factor model. Based on the average F-test and the Bayesian Information Criterion (BIC), we find that more dynamic hedge funds exhibit significantly better quality… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

Liquidity Shocks and Hedge Fund Contagion

Nicole M. Boyson, Christof W. Stahel and René M. Stulz Volume 10, Number 2, Second Quarter 2012 In Boyson, Stahel, and Stulz (2010), we investigate whether hedge funds experience worst return contagion that is, correlations in extremely poor returns that are over and above those expected from economic fundamentals. We find strong evidence of contagion… Read more

0 comments / 14/07/2014 / / Archives, Practitioner’s Digest, Special Issues

PRACTITIONER’S DIGEST

Volume 10, Number 2, Second Quarter 2012 View PDF… Read more

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