Description
Book SynopsisThe volume includes two contributions on hedge funds. One evaluates the performance of hedge funds in market environments that are conducive to active management versus environments that are not. The other provides an empirical study of the market timing skills of hedge fund managers. Additionally, we have two contributions in the area of options. One extends the real options approach to options in which the underlying assets are information items such as seismic databases (rather than tangible real assets), opening the way for a complete analysis of investments along the so-called "Virtual Value Chain." Another offers a significant improvement in the estimation of implied volatility by developing a least-squared-error approach to the problem of "smiles and frowns." We also have an analysis of whether a firm's founders can create an artificial dividend without adversely affecting the value of the firm to other investors. From Canada, we have an empirical analysis of the current uneasy case for adding real estate investments to a portfolio. From Spain is an empirical analysis of whether earnings management activities by companies lead to an increase in qualified audit reports.
Table of ContentsEquity hedge fund performance, cross-sectional return dispersion, and active share. Introduction. List of Contributors. Signs that Markets are Coming Back. The market timing skills of Long/Short equity hedge fund managers. Extending the real options approach by including information options. Quantitative and computer skills employers want vs. what the business curriculum can provide. The uneasy case for real estate investments. Dividend irrelevance and firm control. Research in Finance. Signs that Markets are Coming Back. Copyright page.
