Papers published on a yearly basis
Papers
More filters
••
TL;DR: This article found that investor memories exhibit a positive bias, consistent with current psychological models and found that the degree of bias is conditional upon previous investor choice, a phenomenon related to the well-known theory of cognitive dissonance.
Abstract: We present evidence from questionnaire responses of mutual fund investors about recollections of past fund performance We find that investor memories exhibit a positive bias, consistent with current psychological models We find that the degree of bias is conditional upon previous investor choice, a phenomenon related to the well-known theory of cognitive dissonance Psychological and economic frictions in the mutual fund industry are examined via a cross-sectional study of equity mutual funds We find an unusually high frequency of poorly performing funds, consistent with investor “inertia” We also examine the differential responses of investment dollars to past performance, controlling for survivorship These show that the effect is confined to the top quartile We find little evidence that the response to poor performance is unusual
550 citations
••
TL;DR: Using the Wilcoxon matched-pairs signed rank test, it is concluded that the C4.5 approach and the method of ignoring examples with missing attribute values are the best methods among all nine approaches.
Abstract: In the paper nine different approaches to missing attribute values are presented and compared. Ten input data files were used to investigate the performance of the nine methods to deal with missing attribute values. For testing both naive classification and new classification techniques of LERS (Learning from Examples based on Rough Sets) were used. The quality criterion was the average error rate achieved by ten-fold cross-validation. Using the Wilcoxon matched-pairs signed rank test, we conclude that the C4.5 approach and the method of ignoring examples with missing attribute values are the best methods among all nine approaches; the most common attribute-value method is the worst method among all nine approaches; while some methods do not differ from other methods significantly. The method of assigning to the missing attribute value all possible values of the attribute and the method of assigning to the missing attribute value all possible values of the attribute restricted to the same concept are excellent approaches based on our limited experimental results. However we do not have enough evidence to support the claim that these approaches are superior.
406 citations
••
TL;DR: In this article, the authors adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP).
Abstract: We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks’ marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP loss estimates under stress test scenarios. In general, we find that a bank’s contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation.
306 citations
••
TL;DR: In this paper, the authors suggest that foreign direct investment in the form of equity participation can be an efficient vehicle for tapping into country-specific, firm-embodied technological advantages embedded in foreign firms.
Abstract: This paper investigates the proposition that foreign direct investment in a high-technology industry is motivated in part by the sourcing of country-specific technological advantages embedded in foreign firms. The empirical findings show that foreign equity investment is drawn to American biotechnology firms with high levels of patent activity. We suggest that, in the biotechnology industry, foreign direct investment in the form of equity participation can be an efficient vehicle for tapping into country-specific, firm-embodied technological advantages.
280 citations
••
TL;DR: This article developed a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of the hedge fund that left the database, finding significant performance persistence among superior funds, but little evidence of persistence among inferior funds.
Abstract: In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. Although we find significant performance persistence among superior funds, we find little evidence of persistence among inferior funds.
278 citations
Authors
Showing all 328 results
Name | H-index | Papers | Citations |
---|---|---|---|
Manuela Veloso | 71 | 720 | 27543 |
Tucker Balch | 41 | 181 | 10577 |
George Deodatis | 36 | 125 | 5798 |
Mustafa Caglayan | 32 | 144 | 4027 |
Henrique Andrade | 27 | 81 | 3387 |
Daniel Borrajo | 26 | 168 | 2619 |
Haibin Zhu | 25 | 43 | 4945 |
Paolo Pasquariello | 24 | 53 | 2409 |
Andrew M. Abrahams | 21 | 37 | 1130 |
Alan Nicholson | 19 | 90 | 1478 |
Samuel Assefa | 19 | 34 | 2112 |
Joshua D. Younger | 17 | 18 | 2305 |
Espen Gaarder Haug | 17 | 143 | 1653 |
Jeffrey S. Saltz | 16 | 57 | 852 |
Guy Coughlan | 15 | 27 | 2729 |