By Tarun Ramadorai
Abstract
Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following periods of fund outperformance. Buy (sell) indications have some forecasting power for increases (decreases) in hedge fund performance, over and above other well-known forecasting variables. This information in investor demand co-exists with the presence of capacity constraints in hedge fund returns, confirming two main assumptions of Berk and Green (2004).
Get the Paper from the Centre for Economic Policy Research.
Finance Focus
MoneyScience Twitter
Modelling Single-name and Multi-name Credit Derivatives
Dominic O'Kane
Written by one of the top names in the field of credit, this book combines the theory and practice (with a very heavy focus on practice) of pricing and implementing credit derivatives for credit risk modeling.
ISBN: 9780470519288 – 514 pages – Cloth - 01-Sep-08 - £70.00
