Elderly patients with obstructive lung diseases often receive mechanical ventilation to support their breathing and restore respiratory function. However, mechanical ventilation is known to increase the severity of ventilator-induced lung injury (VILI) in the elderly. Therefore, it is important to investigate the effects of aging to better understand the lung tissue mechanics to estimate the se...

This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. It is regarded as an extension of Dybvig (1988) to continuous-time framework and dynamic portfolio optimizat...

By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows that the risk-adjusted returns of the winners outperform those of the losers following the risk taking, which implies that risk altering can be rega...

I introduce a conditional measure of skill, the correlation between fund's trades and future news of the stocks traded. Using this measure, I show that the average fund manager in the cross-section of U.S. equity mutual funds has stock picking skill. This skill is mainly driven by manager's ability to predict rm's cashow news. Importantly, this skill has short term persistence, which is not exp...

We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to inve...

We investigate differences in the characteristics and performance of securitized loans versus loans held on lenders’ balance sheets using a unique data set of commercial mort­ gages. The main findings are as follows. First, consistent with risk-sharing being a likely reason for securitization, loan size strongly predicts the likelihood of securiti­ zation. The largest 10% of loans have a 44% ch...

Most studies of managed fund performance use measures that are susceptible to bias caused by common time variation in risks and risk premia. Ferson and Schadt (1996) propose a conditional performance measure that controls for the common variation. Their results suggest that incorporating lagged public information variables that have been shown to predict stock returns, such as interest rates an...

Real estate is the most important alternative asset class for pension funds and represents on average more than five percent of their total holdings. We employ a previously unexplored international database to examine the investments of some 880 pension funds in direct real estate and REITs over the 1990-2009 period. We document that larger funds are more likely to invest in real estate interna...