In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge fun...

This study examines the relationship between the life insurance and economic growth in India. The total life insurance premium (TLIP), and total life insurance investment (TLII), are used as proxy for life insurance and Gross Domestic Product (GDP) is used for the economic growth. The data has been compiled from the Handbook on Indian Insurance Statistics, IRDA annual reports and economic surve...

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This paper incorporates human capital into the well-established portfolio theory by allowing for job security in personal portfolio choice. Our model predicts that young people hold more cash to hedge against risk associated with human capital (layoff risk). As people age, layoff risk decreases, and consequently, they invest in more risky assets – stocks in their portfolios. However, as people ...

This paper presents a new method to examine the performance evaluation of mutual funds in incomplete markets. Based on the no arbitrage condition, we develop bounds on admissible performance measures. We suggest new ways of ranking mutual funds and provide a diagnostic instrument for evaluating the admissibility of candidate performance measures. Using monthly data from 1984 to 1997, we show th...

This research provides a post-decimals analysis of market order execution quality in U.S. equity markets, using order-based data reported in accordance with SEC Rule 11Ac1-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent ...

The public debt stock in some economically developed countries continues to increase because of a lack of tax revenues and the concomitant burdens of social security. Many of those countries suffer from lower birth rates and consequently, have fewer children. Child allowances might be an effective way to increase fertility, leading to higher future tax revenues through an increase in the number...

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This paper examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other Socially Responsible Investing (SRI) mutual f...

This paper examines apparent misrepresentation among securitized non-agency loans using three indicators: unreported second liens, owner occupancy misreporting, and appraisal overstatements. We find that approximately 30% of loans exhibited some indication of potential misrepresentation. Misreporting is similar in both low and fulldocumentation loans and is associated with a 51% higher likeliho...