The dispute framed by a June 3d debate at Columbia Law School will define the future (and no very-distant future either) of economic policy in the western world and of the fate of all the currencies involved. The question will be: after Keynes, what? We owe thanks to everybody involved in arranging for the Murphy/Mosler debate.
A newly released paper concludes that the returns many mutual funds make from lending their portfolio securities increase as the directors on their boards become more independent. Separately, it is a good sign if the directors have, as the saying goes, 'skin in the game.'
Investors want to know whether the executives are speaking deceptively well before the restatement is filed. In order to help with that goal, Larcker and Zakolyukina in the paper, “Detecting Deceptive Discussions in Conference Calls,” have analyzed the transcripts, focusing especially on CEOs and CFOs because they are “the most likely executives to have knowledge about financial statement manipulation.”
Should a lender of last resort lower interest rates to near zero in the hope that liquidity will drown systemic sorrows? Bagehot argues for a contrary approach. The interest rates for loans made to desperate borrowers should be high. “This will operate as a heavy fine on unreasonable timidity, and will prevent the greatest number of applications by persons who do not require it. The rate should be raised early in the panic, so that the fine may be paid early…."
The issue of restitution for loss has been very much on the midns of the asset management industry over the last four years. As EDHEC observes in its new report on non-financial risks, “The collapse of Lehman not only [showed] the world that a systemically large institution could fail; it put … the question of international cooperation and rules harmonisation on centre stage. Restitution may be rendered impossible, at least under reasonable delays, in extreme cases such as the default of an institution – reputable as it might have been.”
The relationship between two markets that O’Kane posits might almost be taken as a paradigm of the difference between Granger causation and physical causation. Consider the case of two distinct radar systems, one better at long range detection than the other. The superior radar system will detect an incoming airplane before the inferior system will. Thus, there will be a relationship of Granger causation between the detection of a particular blip on the better system and its detection on the other system. If we see an incoming blip on the better system we will be able to predict that it will soon show up on the inferior system. It doesn’t follow, though, that the one radar is physically causing anything to happen to the other radar.
The latest version of a yearly analysis tells the same old story about performance, now backed up by fifteen years of data. And the potential rewards of investing with smaller funds go beyond what you see in the database statistics.
International Monetary Fund research shows that speculation does not influence the commodities markets.
Study finds that an increase in assets isn’t all that great after all. But it won’t kill you either.Sep 7th, 2011 | Filed under: Academic Research, Hedge Fund Industry Trends, Today's Post
What happens when a hedge fund gets a windfall of new investment dollars?
Corporate CEOs aren't the only ones who dread the appearance of activist hedge fund managers on their radar screens. Activists are giving the accounting departments pause as well, according to a new paper by Hall and Trombley.
A paper published by he European Central Bank this month argues that purely-financial investors do indeed "destabilize" oil prices by indiscriminately allocating capital to oil futures.
Some new research shows that it may be possible to mathematically determine a bubble before it forms, let alone pops.
A recent study suggests to at least one mass media outlet that hedge funds should mind their own business and not by nosy about other hedge funds' trades. But a closer reading of the study suggests to us that it's extremely difficult to measure the vast array of social interactions in Hedgistan.
Study: Public pension funds in a dangerous race with one another. Should focus on liabilities first.Mar 24th, 2011 | Filed under: Academic Research, Institutional Investing, Today's Post
A study of 125 U.S. state pension plans reveals that management incentives, misguided accounting standards and conflicting interests could perpetuate a funding gap roller coaster.
Brazil's "multimercado" funds are often described as a form of well-regulated hedge funds. But new research suggests that may be stretching the truth just a little.
Currency markets basically follow a random walk. But according to a new study, the returns from currency hedge funds are anything but random.
Hedge funds and “stock manipulation”: Perpetrators, accomplices or just in the wrong place at the wrong time (again)?Mar 2nd, 2011 | Filed under: Academic Research, Performance, Analytics & Metrics, Today's Post
A new study of stocks with high hedge fund ownership claims that something fishy is going on at the end of every month.
Managers operating in mature and “efficient” markets rejoice! Study finds you too can generate alpha.Feb 22nd, 2011 | Filed under: Academic Research, CAPM / Alpha Theory, Today's Post
Thought managers in "inefficient markets" like emerging markets or small cap equities had the advantage when it comes to alpha-generation? Maybe not...
Do hedge funds really care about being the "best"?
One of the world's largest institutional investors in private equity funds recently invited academics to study it's decades' worth of secret fund data. What those researchers found might surprise you.
Hedge Fund Replication: Indexation & duplication? Estimation & approximation? Or a declaration of innovation?Jan 24th, 2011 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post
Maybe it's about time we dispense with the antiquated notion that "hedge fund replication" is all about actually "replicating" anything.
The ubiquitous Sharpe ratio ignores those pesky "higher moments." But evidently, that's not all it lacks.
Thought commodities were going to be man's best friend when inflation strikes? You might want to read this...
A transnational study of mutual funds sheds light on one of the secrets of hedge funds' overall success.
Is the proof in the pudding? Detecting fraud and operational risks through hedge fund performance and reportingJan 10th, 2011 | Filed under: Academic Research, Hedge Fund Operations and Risk Management, Today's Post
If only you could just ask a hedge fund manager if he was cooking the books...
It might be true that rotating among individual managers is an important source of returns for funds of funds. But research suggests you shouldn't give up on strategy-diversification just yet.
Like having snow tires, hedge fund risk modeling can better predict how a vehicle will perform in terrible weather.
Yes. You read it right. Regulations that could actually lead to more alpha? Hey, it can happen.
Mutual funds with a high "active share" are once again found to produce higher and more persistent returns - the two basic constituents of alpha. So why is closet indexing as popular as ever? And what does this portend for hedge funds?
While many hedge funds are happy to be single, more and more are now part of growing "families" of hedge funds. One researcher has just examined the behaviour and customs of these families. What she finds may surprise you.
A Harbinger of things to come? Study finds mega hedge fund business model “does not appear sustainable”Nov 22nd, 2010 | Filed under: Academic Research, Hedge Fund Industry Trends, Today's Post
Last week, hedge fund heavyweight Harbinger Capital raised assets, not from investors in the usual way, but by issuing bonds. Coincidentally, a research paper published only a couple of weeks before suggests we may see a lot more of this type of thing in the future.