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Survivorship Bias in Performance Studies
Recent evidence suggests that past mutual fund performance predicts future performance. We analyze the relationship between volatility and returns in a sample that is truncated by survivorship and
Differential Information and Security Market Equilibrium
Abstract We propose a simple model of equilibrium asset pricing in which there are differences in the amounts of information available for developing inferences about the returns parameters of
Conference Calls and Information Asymmetry
We hypothesize that conference calls are voluntary disclosures that lead to long-term reductions in information asymmetry among equity investors. Cross-sectional and time-series tests show that the
How disclosure quality affects the level of information asymmetry
We examine two potential mechanisms through which disclosure quality is expected to reduce information asymmetry: (1) altering the trading incentives of informed and uninformed investors so that
Offshore Hedge Funds: Survival and Performance 1989-1995
We examine the performance of the off-shore hedge fund industry over the period 1989-1995 using a database that includes both defunct and currently operating funds. The industry is characterized by
A Lottery Demand-Based Explanation of the Beta Anomaly
The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article
Macroeconomic Risk and Hedge Fund Returns
This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting