Discount‐rate variation is the central organizing question of current asset‐pricing research. I
survey facts, theories, and applications. Previously, we thought returns were unpredictable …

We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …

Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

ABSTRACT I compare the fees, expenses, and trading costs society pays to invest in the US
stock market with an estimate of what would be paid if everyone invested passively …

We present a new model of investors delegating portfolio management to professionals
based on trust. Trust in the manager reduces an investor's perception of the riskiness of a …

The returns to hedge funds and other alternative investments are often highly serially
correlated. In this paper, we explore several sources of such serial correlation and show that …

Standard asset pricing models assume that:(i) there is complete agreement among investors
about probability distributions of future payoffs on assets; and (ii) investors choose asset …

We use a comprehensive data set of funds‐of‐funds to investigate performance, risk, and
capital formation in the hedge fund industry from 1995 to 2004. While the average fund‐of …

We connect stocks through their common active mutual fund owners. We show that the
degree of shared ownership forecasts cross‐sectional variation in return correlation …