the spatial and temporal diffusion of house prices in the uk abstract this paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system we use changes in real house prices within the uk economy at the level of regions to illustrate its use adjustment to shocks involves both a region specific and a spatial effect shocks to a dominant region london are propagated contemporaneously and spatially to other regions they in turn impact on other regions with a delay we allow for lagged effects to echo back to the dominant region london in turn is influenced by international developments through its link to new york and other financial centers it is shown that new york house prices have a direct effect on london house prices we analyse the effect of shocks using generalised spatio temporal impulse responses these highlight the diffusion of shocks both over time as with the conventional impulse responses and over space

u s metropolitan house price dynamics abstract using data for 70 u s metropolitan areas this study explores spatial heterogeneity in house price dynamics we use recent advances in panel econometrics that allow for spatial heterogeneity cross sectional dependence and non stationary but cointegrated data we test for spatial differences and analyze the relationship between the price elasticity of housing supply and the income elasticity of prices as well as bubble size and duration the long term elasticity of house prices with respect to aggregate personal income averages 0 81 but varies considerably across metropolitan areas the long term income elasticity generally is greater in the more supply inelastic metropolitan areas and we show that bubble size and duration are inversely related to supply elasticity also short term momentum and reversion dynamics show substantial spatial heterogeneity

flows price pressure and hedge fund returns the authors studied how capital flows affect hedge fund returns and found that funds with high inflows outperform funds with high outflows during the month of the flows this immediate reaction combined with feedback trading gives rise to a cycle flows exert price pressure this effect on returns induces more flows and these flows cause further price pressure the cycle is so strong that it takes two years for a full return reversal and it contributes to the observed persistence in hedge fund performance the impact of flows on returns has clear implications for performance evaluation one third of estimated hedge fund alphas are due to flows

driving to opportunity local rents wages commuting costs and sub metropolitan quality of life we examine variation in local rents wage levels commuting costs household characteristics and amenities within metropolitan areas for 2071 areas covering the united states by density and central city status we demonstrate the sensibility of estimating wage levels by workplace not residence and recover decentralized rent gradients that fall with commuting costs we construct and map a willingness to pay index which indicates the quality of life typical households receive from local amenities when households are similar mobile and informed this index varies considerably within metros and is typically high in areas that are dense suburban sunny mild safe entertaining and have elevated school funding

targeted export promotion with several oligopolistic industries abstract we study export promotion policies in situations where several oligopolistic industries compete for the services of a sector specific factor of production the partial equilibrium argument for strategic subsidies must be modified to incorporate general equilibrium effects working through the factor market we find that these effects generally weaken the case for profit shifting subsidies in a benchmark case with symmetric exporting industries fixed coefficients technologies and an inelastic supply of the specific factor free trade is shown to be optimal

the risk in hedge fund strategies theory and evidence from trend followers hedge fund strategies typically generate option like returns linear factor models using benchmark asset indices have difficulty explaining them following the suggestions in glosten and jagannathan 1994 this article shows how to model hedge fund returns by focusing on the popular trend following strategy we use lookback straddles to model trend following strategies and show that they can explain trend following funds returns better than standard asset indices though standard straddles lead to similar empirical results lookback straddles are theoretically closer to the concept of trend following our model should be useful in the design of performance benchmarks for trend following funds

urban decline and durable housing urban decline is not the mirror image of growth and durable housing is the primary reason the nature of decline is so different this paper presents a model of urban decline with durable housing and verifies these implications of the model 1 city growth rates are skewed so that cities grow more quickly than they decline 2 urban decline is highly persistent 3 positive shocks increase population more than they increase housing prices 4 negative shocks decrease housing prices more than they decrease population 5 if housing prices are below construction costs then the city declines and 6 the combination of cheap housing and weak labor demand attracts individuals with low levels of human capital to declining cities

carry trades and the performance of currency hedge funds we investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset we find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades the best alpha generating funds exhibit a performance that persists over a one year horizon this performance persistence is mostly due to compensation for currency risk taking as there is no strong evidence of remuneration for active management the results are robust to biases affecting hedge fund returns alternative carry trade benchmarks and different methodologies used to correct for sample variability

drawing inferences about housing supply elasticity from house price responses to income shocks abstract the purpose of this paper is to provide information about the price elasticity of the supply of housing i examine the relationship between the average price of single family housing and the amount of personal income a two equation vector error correction system is estimated using a panel data set consisting of 76 msas from 1980 to 1998 the results suggest an elastic long run supply function but a relatively slow pace of adjustment to long run equilibrium hence a major demand shock can be expected to impact housing prices for several years following the shock differences in the responsiveness among subgroups of msas are examined and found to be generally minor

testing the efficiency of the norwegian housing market abstract the question of whether or not the housing market is efficient is posed by an increasing number of economists policymakers homebuyers and homesellers this article tests the efficiency hypothesis on data from the housing market in oslo over the period 1991 2002 employing the case shiller time structure test on a repeat sales house price index and returns to housing we demonstrate that both the repeat sales house price index and returns contain time structure and that the housing market is characterized by inefficiencies we also find surprisingly that the housing market consistently yields higher appreciation at lower volatility than the stock market over the period

social capital barriers to production and capital shares implications for the importance of parameter heterogeneity from a nonstationary panel approach recent advances in the growth literature have proposed that difficult to quantify concepts such as social capital may play an important role in explaining the degree of persistent income disparity that is observed among countries other recently explored possibilities include institutional mechanisms which generate barriers to aggregate production an important limitation for empirical work in this area stems from the fact that it is difficult to distinguish sources of heterogeneity when direct observations are not available in this study we show how developments in the analysis of nonstationary panels can aid in this endeavor in contrast to traditional dynamic panel data analysis this approach focuses explicitly on low frequency behavior under relatively mild assumptions the approach can be used to infer properties of aggregate production which are robust to the presence of large classes of unobserved features in this framework we are able to estimate and test the distribution of production function parameters that would be required in order to generate conditional forecast convergence of per capita incomes even when some of the key factors required to explain growth are unobserved the results indicate that in order to fully explain the observed persistence in the disparity of per capita incomes the manner in which unobserved mechanisms influence production must go beyond merely accounting for differences in the trending behavior of aggregate productivity specifically if such mechanisms are to be successful empirically they must also be able to account for cross country heterogeneity in steady state capital shares this adds to a growing literature that provides support for models with multiple production regimes copyright 2007 john wiley sons ltd

external effects in u s procyclical productivity abstract in this paper we highlight a new dimension of the aggregate procyclical productivity phenomenon we show that estimates of the degree of returns to scale are larger for manufacturing as a whole than for two digit industries since this difference must be due to factors that are only internalized at the most aggregate level we term it an external effect this result rules out explanations based on own input variation such as true increasing returns and unmeasured factor utilization tied to own activity as the sole explanations for aggregate procyclical productivity we explore several potential explanations of this external effect

higher risk lower returns what hedge fund investors really earn abstract the returns of hedge fund investors depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital flows in and out of these funds we use dollar weighted returns a form of internal rate of return irr to assess the properties of actual investor returns on hedge funds and compare them to buy and hold fund returns our main finding is that annualized dollar weighted returns are on the magnitude of 3 to 7 lower than corresponding buy and hold fund returns using factor models of risk and the estimated dollar weighted performance gap we find that the real alpha of hedge fund investors is close to zero in absolute terms dollar weighted returns are reliably lower than the return on the standard poor s s p 500 index and are only marginally higher than the risk free rate as of the end of 2008 the combined impression from these results is that the return experience of hedge fund investors is much worse than previously thought

leverage and house price dynamics in u s cities we use city level data to analyze the relationship between homeowner borrowing patterns and house price dynamics our principal finding is that in cities where a greater fraction of homeowners are highly leveraged i e have high loan to value ratios house prices react more sensitively to city specific shocks such as changes in percapita income this finding is consistent with recent theories that emphasize the role of borrowing in shaping the behavior of asset prices

an econometric model of serial correlation and illiquidity in hedge fund returns the returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long only equity portfolios and mutual funds in this paper we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure i e investments in securities that are not actively traded and for which market prices are not always readily available for portfolios of illiquid securities reported returns will tend to be smoother than true economic returns which will understate volatility and increase risk adjusted performance measures such as the sharpe ratio we propose an econometric model of illiquidity exposure and develop estimators for the smoothing prole as well as a smoothing adjusted sharpe ratio for a sample of 908 hedge funds drawn from the tass database we show that our estimated smoothing coecien ts vary considerably across hedge fund style categories and may be a useful proxy for quantifying illiquidity exposure

hedge fund benchmarks information content and biases we discuss the information content and potential measurement biases in hedge fund benchmarks hedge fund indexes built from databases of individual hedge funds inherit the measurement biases in the databases in addition broad based indexes mask the diversity of individual hedge fund return characteristics consequently these indexes provide incomplete information to investors seeking diversification from traditional asset classes through the use of hedge funds the approach to constructing hedge fund benchmarks we propose is based on the simple idea that the most direct way to measure hedge fund performance is to observe the investment experience of hedge fund investors themselves the funds of hedge funds fofs in terms of measurement biases returns of fofs can deliver a cleaner estimate of the investment experience of hedge fund investors than the traditional approach in terms of risk characteristics indexes of fofs are more indicative of the demand side dynamics driven by hedge fund investors p

market structure and cyclical fluctuations in u s manufacturing the relevance of imperfect competition for models of economic fluctuations has received increased attention from researchers in both macroeconomics and industrial organization the authors outline a new methodology for estimating industry markups of price over marginal cost and the influence of market structure on cyclical movements in total factor productivity measures of industry concentration import competition and unionization are important for explaining markups in some industry groups much of the estimated markup of price over marginal cost is accounted for by noncapital fixed costs finally the authors show that their estimated margins fluctuate substantially over the cycle in particular markups are countercyclical especially in concentrated durable goods industries copyright 1988 by mit press

a longer look at the asymmetric dependence between hedge funds and the equity market this paper reexamines at a range of investment horizons the asymmetric dependence between hedge fund returns and market returns given the current availability of hedge fund data the joint distribution of longer horizon returns is extracted from the dynamics of monthly returns using the filtered historical simulation we then apply the method based on copula theory to uncover the dependence structure therein while the direction of asymmetry remains unchanged the magnitude of asymmetry is attenuated considerably as the investment horizon increases similar horizon effects also occur on the tail dependence our findings suggest that nonlinearity in hedge fund exposure to market risk is more short term in nature and that hedge funds provide higher benefits of diversification the longer the horizon

margins and hedge fund contagion funding risk measures the extent to which a fund can borrow money by posting collateral using a novel measure of funding risk based on futures margins we are able to empirically identify the mechanism by which changes in funding risk affect the likelihood of contagion an increase in margins of the order of magnitude observed during the subprime crisis increases the probability of contagion among certain types of funds by up to 34 our analysis shows that some types of hedge funds are more vulnerable to contagion than others our results also suggest that policies that limit the magnitude of changes in margins over short periods of time may reduce the likelihood of contagion among hedge funds

forecasting the performance of hedge fund styles this article predicts the relative performance of hedge fund investment styles using time varying conditional stochastic dominance tests these tests allow for the construction of dynamic trading strategies based on nonparametric density forecasts of hedge fund returns during the recent financial turmoil our tests predict a superior performance for the global macro investment style compared with the other strategies of directional traders the dedicated short bias investment style is stochastically dominated by the other directional styles these results are confirmed by simple nonparametric tests constructed from realized excess returns further by utilizing a cross validation method for optimal bandwidth parameter selection we discover the factors that have predictive power regarding the density of hedge fund returns we observe that different factors have forecasting power for different regions of the returns distribution and more importantly that the fung and hsieh factors have power not only for describing the risk premium but also if appropriately exploited for density forecasting

portfolio performance evaluation old issues and new insights this article presents a model that provides insights about various measures of portfolio performance the model explores several criticisms of these measures these include the problem of identifying an appropriate benchmark portfolio the possibility of overestimating risk because of market timing ability and the failure of informed investors to earn positive risk adjusted returns because of increasing risk aversion the article argues that these need not be serious impediments to performance evaluation

optimal tariffs for trade in monopolistically competitive commodities abstract the welfare implications of international trade are examined for an economy which contains a monopolistically competitive industry and imports products directly competitive with this industry necessary and sufficient conditions for such trade to increase welfare are found and optimal import tariffs are derived and analysed

equity market neutral hedge funds and the stock market an application of score driven copula models in this article we study the time varying market neutrality of equity market neutral hedge funds we use data from the hedge fund research equity market neutral index hfrx eh which represents

the relation between price and marginal cost in u s industry an examination of data on output and labor input reveals that some u s industries have marginal cost well below price the conclusion rests on the finding that cyclical variations in labor input are small compared with variations in output in booms firms produce substantially more output and sell it for a price that exceeds the costs of the added inputs the paper documents the disparity between price and marginal cost where marginal cost is estimated from annual variations in cost it considers a variety of explanations of the findings that are consistent with competition but none is found to be completely plausible

housing dynamics an urban approach abstract a dynamic linear rational equilibrium model in the tradition of alonso rosen and roback is consistent with many outstanding stylized facts of housing markets these include a that the markets are local in nature b that construction persistence is fully compatible with mean reversion in prices and c that price changes are predictable calibration exercises to match moments of the real data have notable successes and failures the volatility in local income processes as reflected in hmda mortgage applicant data can account for much of the observed price and construction volatility except for the most inelastically supplied local markets the model s biggest failure lies in its inability to match the strong persistence in high frequency price changes from year to year

does growing wealth influence hedge funds development an empirical analysis abstractalternative investments such as hedge funds have in last years become an integral part of the investment portfolios of the wealthy the article s goal is also to answer the following research question does the global wealth of the world have impact on the global value of the hedge funds assets we also try to forecast the value of the hedge funds assets for the next years 2015 2017 the results from this study would also be valuable to investors and other stakeholders such as the regulators and the creditors of the hedge funds

do hedge funds deliver alpha a bayesian and bootstrap analysis abstract using a robust bootstrap procedure we find that top hedge fund performance cannot be explained by luck and hedge fund performance persists at annual horizons moreover we show that bayesian measures which help overcome the short sample problem inherent in hedge fund returns lead to superior performance predictability sorting on bayesian alphas relative to ols alphas yields a 5 5 per year increase in the alpha of the spread between the top and bottom hedge fund deciles our results are robust and relevant to investors as they are neither confined to small funds nor driven by incubation bias backfill bias or serial correlation

residential land use regulation and the us housing price cycle between 2000 and 2009 abstract in a sample covering more than 300 cities in the us from january 2000 to july 2009 we find that more restrictive residential land use regulations and geographic land constraints are linked to larger booms and busts in housing prices the natural and man made constraints also amplify price responses to the subprime mortgage credit expansion during the decade leading to greater price increases in the boom and subsequently bigger losses contrary to prior literature our findings indicate a significant link between supply inelasticity and price declines during the bust whereas glaeser et al 2008 found little evidence of such a relationship from an earlier downturn from 1989 to 1996

welfare consequence of capital inflow for a small tariff protected economy abstract capital inflow is generally immiserizing when the capital intensive import competing sector is tariff protected and profits are repatriated in full in this paper we construct a model with increasing returns embedded in a monopolistically competitive market to show that capital inflow might lead to higher factor income and interestingly enough growth of import competing sector might lead to still higher imports thus two distinct possible channels are identified through which welfare might improve

playing by the new subsidy rules capital subsidies as substitutes for sectoral subsidies abstract in a small open economy characterized by an increasing returns sector and foreign owned capital a sector specific instrument generally is needed to achieve the optimum a capital subsidy alone can be used for decentralization however when the optimal production plan is specialization in the externality generating activity the effect of a capital subsidy on home income and its distribution depends on the pattern of production and the share of domestic capital that is foreign owned in a diversified economy a subsidy benefits capital owners harms labor and raises national income only if foreign capital ownership is sufficiently small in a specialized economy a subsidy may raise national income even if all domestic capital is foreign owned and if it does both labor and capital owners gain thus a capital subsidy may be an attractive replacement for sector specific subsidies proscribed by international agreements

technological linkages market structure and production policies abstract proponents of industrial policy argue that key industries merit subsidies because they generate beneficial externalities we show that policy must reflect both technological linkages and market power in the target industries the interaction of which may produce an optimal policy including both subsidies and taxes on target industries the optimal policy combination may not be politically or administratively feasible if so we show that it may not be desirable to subsidize output in the externality generating activity on either a fixed or per unit basis thus technological linkages alone do not lead to the presumption that the externality generating activity should be subsidized

performance characteristics of hedge funds and commodity funds natural vs spurious biases it is well known that the pro forma performance of a sample of investment funds contains biases these biases are documented in brown goetzmann ibbotson and ross 1992 using mutual funds as subjects the organization structure of hedge funds as private and often offshore vehicles makes data collection a much more onerous task amplifying the impact of performance measurement biases theis paper reviews these biases in hedge funds we also propose using funds of hedge funds to measure aggregate hedge fund performance based on the idea that the investment experience of hedge fund investors can be used to estimate the performance of hedge funds

assessing and valuing the non linear structure of hedge fund returns several studies have put forward the non linear structure and option like features of returns associated with hedge fund strategies the authors provide a statistical methodology to test for such non linear features with the returns on any benchmark portfolio they estimate the portfolio of options that best approximates the returns of a given hedge fund account for this search in the statistical testing of the contingent claim features and test whether the identi ed non linear features have a positive value the authors nd that not all categories of funds exhibit signi cant non linearities and that only a few strategies as a group provide signi cant value to investors individual funds may still provide value in

the capital gains effect in the demand for housing abstract recent concerns about speculation in housing markets have underscored the fact that housing is not only a consumption good but is also an investment asset with uncertain potential to generate capital gains we present a theoretical model of housing demand under uncertainty that captures these dual characteristics emphasis is placed on the formulation of expectations about housing prices and the role that potential capital gains may play in the demand for owner occupied housing services the model is then taken to the data econometric analysis of data from florida a state known for periodically dynamic housing markets is carried out we find that an increase in housing prices increases the demand for owner occupied housing services thus housing s role as investment asset with its potential for capital gains dominates its role as consumption good which alone would produce a downward sloping own demand curve rather than one which is upward sloping our theoretical model fully rationalizes this econometric result

why has house price dispersion gone up we calibrate a dynamic general equilibrium island model to investigate the 30 year increase in the level of house prices and their dispersion across u s metropolitan areas the model is based on two main assumptions households o w in and out metropolitan areas in response to local productivity shocks and the housing supply cannot adjust instantly because of technological and regulatory constraints the calibration reveals that the observed tightening of housing supply regulation cannot quantitatively account for the rise in the level and dispersion of house prices in equilibrium workers o w out of tightly regulated towards less regulated metropolitan areas undoing most of the price impact of local supply restrictions in contrast the observed increase in wage dispersion across metropolitan areas does create the observed increase in the level and dispersion of house prices workers o w towards exceptionally productive metropolitan areas and drive house prices up the calibration also suggests that the welfare eects of housing supply regulation are large when wages become more dispersed

hedge fund return dependence model misspecification or liquidity spirals we test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered for economic fundamentals hedge fund index returns and the links between volatility liquidity shocks and hedge fund return clustering evidence supports the model misspecification hypothesis i hedge fund filtered return clustering is symmetric ii filtered short bias fund returns exhibit negative dependence with filtered returns for other hedge fund types iii negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks and iv these same patterns appear in size sorted equity portfolios

sentiment hedging how hedge funds adjust their exposure to market sentiment abstract we investigate a new facet of hedging ability among hedge fund managers using a sentiment exposure model we find evidence that fund managers adjust the market exposure of their portfolios to changes in market sentiment out of sample evidence indicates that hedge funds having the highest negative sentiment exposure outperform funds having the highest positive sentiment exposure by 1 7 2 4 per year the results remain persistent for both the sub period analysis and the analysis excluding crisis periods we also find that a hedge fund s willingness to take on sentiment exposure decreases with fund age and fund size and increases with incentive fees our findings remain robust even after controlling for hedge fund data biases as well as using alternative sentiment measures

theory and estimation in the economics of housing demand the main purpose of this paper is to review recent theoretical and empirical developments in the economics of housing demand in particular we ask what is known concerning the permanent income elasticity of housing demand vis a vis the current or measured income elasticity what is known concerning price elasticities what is the appropriate functional form for housing demand equations what is the role of demographic variables what is known concerning dynamic aspects of housing demand what appear to be the major sources of bias in existing estimates of demand equations

combining momentum with reversal in commodity futures this paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures while the single sort momentum strategies returns 11 14 per annum on average a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation combining the observed reversal pattern with the momentum signal our double sort strategy returns 20 24 per annum which significantly outperforms single sort strategies the proposed strategy is robust to seasonality effects and sample adjustments in commodity futures the profitability of the double sort strategy cannot be explained by standard risk factors term structure market volatility investor sentiment data mining or transaction costs but appears to be related to global funding liquidity as a consequence the double sort strategy in commodity futures may be employed as a portfolio diversification tool

supply constraints and housing market dynamics abstract although the volatility of house prices is often ascribed to demand side factors constraints on housing supply have important and little studied implications for housing dynamics i illustrate the strong relationship between the volatility of house prices and the regulation of new housing supply i then employ a dynamic structural model of housing investment to investigate the mechanisms underlying this relationship i find that supply constraints increase volatility through two channels first regulation lowers the elasticity of new housing supply by increasing lags in the permit process and adding to the cost of supplying new houses on the margin second geographic limitations on the area available for building houses such as steep slopes and water bodies lead to less investment on average relative to the size of the existing housing stock leaving less scope for the supply response to attenuate the effects of a demand shock my estimates and simulations confirm that regulation and geographic constraints play critical and complementary roles in decreasing the responsiveness of investment to demand shocks which in turn amplifies house price volatility

differential information and performance measurement using a security market line an uninformed observer using the tools of mean variance and security market line analysis to measure the performance of a portfolio manager who has superior information is unlikely to be able to make any reliable inferences while some positive results of a very limited nature are possible e g when there is a riskless asset or when information is restricted to be security specific in general anything is possible in particular a manager with superior information can appear to the observer to be below or above the security market line and inside or outside of the mean variance efficient frontier and any combination of these is possible mean variance theory predicts that if we plot expected returns against beta coefficients all securities plot on a single line known as the security market line sml since fpi the beta coefficient for security i is interpreted as a measure of the riskiness of security i the market line is a graphical representation of the linear relationship between risk and return what are we to make of deviations from the sml i e of securities or managed portfolios that do not plot on such a line if we can retain our intuitive interpretation of fj as the riskiness of asset i and the market line as the appropriate expected return needed to reward agents taking on various degrees of risk then vertical deviations from the market line represent abnormal returns that differ from what is merited this paper and the companion piece dybvig and ross 10 explore in detail the validity of this intuition and the question of what sml deviations really measure the companion piece analyzes sml deviations caused by the choice of an inefficient market or reference portfolio in this paper we analyze sml deviations caused by superior performance based on superior information the intuitive explanation of deviations from the sml has motivated many

why are firms rigid a general framework and empirical tests we present a general framework for understanding why firms are slow to make major strategic changes in a wide range of empirical settings we then apply this framework to investigate more specifically the relationship between firm age and scope in hedge funds our empirical analyses demonstrate that younger hedge funds outperform older hedge funds both before and after the launch of a new fund based on our framework these results suggest that age based rigidity in hedge funds is more attributable to internal political frictions that influence project selection than to constraints associated with exchange partners or implementation costs we conclude by discussing how our framework can be used to identify the dominant source of rigidity in other contexts

global hedge funds risk return and market timing we examined the performance of 115 global equity based hedge funds with reference to their target geographical markets in the seven year period 1994 2000 several results are noteworthy first global hedge fund managers do not show positive market timing ability but do demonstrate superior security selection ability the jensen s alphas we found before and after controlling for market timing are sizable and positive second incentive fees and leverage both have a significant positive impact on a hedge fund s risk adjusted return as demonstrated by sharpe ratios and jensen s alphas but not on a fund s selectivity index i e its performance after controlling for market timing effects third incentive fees can lower the hedge fund s up market and down market systematic risk fourth the size of a hedge fund is consistently related to its return performance finally contrary to the general perception leverage does not significantly affect the systematic risk of hedge funds

globalization and specialization abstract the popular dixit stiglitz ethier framework proposes that globalization increases the menu of intermediate goods available to downstream firms and that gains from specialization raise welfare unambiguously this study shows that both results depend critically on the assumption that demand elasticities are invariable the more general framework presented here provides two main insights first whether specialization rises or falls depends ultimately on the shape of the cost function and second globalization can actually reduce welfare in the case when specialization falls

micro foundations of external economies the first purpose of this paper is to specify certain microeconomic determinants of external economies and then analyze the consequences of these economies for production and welfare in a simple general equilibrium model the second purpose is to explore the circumstances under which the implied industry production functions are consistent with the ad hoc specifications used in trade theory and growth theory the motivation for the latter exercise is that despite progress in general equilibrium analysis of internal economies these industry production functions allow the author to capture the very powerful analytical advantages of competitive general equilibrium and duality theory

hedge fund risk dynamics implications for performance appraisal accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes strategies and leverage in response to changing market conditions and arbitrage opportunities the standard measure of performance is the abnormal return defined by a hedge fund s exposure to risk factors if exposures are assumed constant when in fact they vary through time estimated abnormal returns may be incorrect we employ an optimal changepoint regression that allows risk exposures to shift and illustrate the impact on performance appraisal using a sample of live and dead funds during the period january 1994 through december 2005