Using one of the largest hedge fund databases ever used (2796 individual funds including
801 dissolved), we investigate hedge funds performance using various asset pricing models, …

We estimate investable comoment equity risk premiums for the US markets. The stock's
contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a …

By examining stock market reactions to the announcement of operational losses by financial
companies, this paper attempts to disentangle operational losses from reputational damage…

We investigate the implications of venture capital (VC) investor type (government or private)
on the operating efficiency of a sample of 515 Belgian portfolio firms up to 3 years after the …

This paper analyzes the implications of the advanced measurement approach (AMA) for the
assessment of operational risk. Through a clinical case study on a matrix of two selected …

This paper performs a census of the 101 performance measures for portfolios that have been
proposed so far in the scientific literature. We discuss their main strengths and weaknesses …

This paper tests the performance of 2894 hedge funds in a time period that encompasses
unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The …

This paper performs a census of the 107 performance measures for portfolios that have been
proposed so far in the scientific literature. We discuss their main strengths and weaknesses …

This paper extends the Treynor performance ratio for a single index to the case of multiple
indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key …

This article studies sovereign credit spreads using a contingent claims model and a balance
sheet representation of the sovereign economy. Analytical formulae for domestic and …