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  • Lieven Baele, Jan Annaert, +4 authors Geert Bekaert
  • 2003
Both the editor and an anonymous referee provided extensive guidance, comments and insights that greatly improved the paper. The author also wishes to acknowledge financial support from the Belgian Program on Interuniversity Poles of Attraction, initiated by the Belgian Federal Office for scientific, technical and cultural affairs, contract UAP no. P 5/21.(More)
The purpose of this paper is to identify ex ante fund statistics that can be related to future performance of European equity funds. In an efficient market setting, actively managed portfolios cannot outperform a passive benchmark strategy. However, purely by chance, some funds outperform their benchmark ex post, making the identification of performance(More)
The empirical verification of one-factor and multifactor asset pricing models attempts to identify the risk factors that should be used by investors to value risky cash flows and tries to distinguish models which are able to estimate expected returns without misspecification. In this paper we evaluate different model specifications for European stock market(More)
This paper investigates whether the stock returns of banks with different risk profiles exhibit different risk factor sensitivities over the business cycle. More specifically, we investigate whether or not high levels of capital adequacy or functional diversification provide banks with a structural hedge against a deterioration in the prevailing credit(More)
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Acknowledgment The interest for credit risk from academics and practitioners is booming. The up till now available literature on this subject, however, concentrates almost uniquely on US markets. While these markets play a major role in the world economy European bond markets are experiencing an ongoing growth and a trend towards maturity. How credit risk(More)
Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and Jennrich tests are most commonly used test statistics in the(More)
Using a unique data set of mutual fund transactions, this paper examines two widely acknowledged behavioural biases: overconfidence in trading and disposition behaviour. We test for the first bias by comparing the ex post profitability of the purchased and sold securities by mutual funds. Our empirical results show that the returns on the purchased(More)