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Active fund risk premia in emerging markets
Security returns, adjusted for market risk, contain risk premia that compensate for the exposure to active fund risk. The active fund risk premium of...
Natural language processing for financial markets
News and comments are major drivers for asset prices, maybe more so than conventional price and economic data. Yet it is impossible for any...
A theory of hedge fund runs
Hedge funds’ capital structure is vulnerable to market shocks because most of them offer high liquidity to loss-sensitive investors. Moreover, hedge fund managers form...