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Purpose – This research pinpoints the limitations of conventional models for evaluating the performance of hedge funds and attempts to provide a new framework for modeling the dynamics of risk structures of hedge funds.

Methodology/approach – This chapter aims to explore how the systematic risk exposures of hedge funds vary over time and depend on exogenous variables that managers are supposed to use in their dynamic investment strategies. To achieve this, we used a Bayesian time-varying CAPM-based beta model within a state space technology.

Findings – The results showed that the volatility, term spread rate, and shocks in liquidity influence significantly on the time variation of hedge funds. Besides, the dynamics of beta indicates that the transmission channels of systematic risk are mainly the leverage levels of hedge funds and liquidity shocks.

Originality/value of chapter – These results are original because they help to explain how expected and unexpected hedge fund returns are correlated with the systematic risk factors via the beta dynamics.

To understand how foreign exchange risk is managed it may be important to document who is involved in its management. Different individuals working in corporations will have different perspectives and different backgrounds including functional specialisms which fit them for functional roles. They will have specific job responsibilities inherent in their job descriptions. It is hypothesised that the nature of who gets involved in managing foreign exchange risk will impact on how it is managed. This paper reports on the findings of a postal survey of foreign exchange risk management practices in British Times 1000 corporations carried out in late 1991. The findings give support to the hypothesis and raise the issue of whether optimal foreign exchange risk management can occur when how it is managed is significantly influenced by who manages it. This is particularly so, given that the nature of the exposure reported by different corporations is not normally found to be significantly associated with who manages it. The paper concludes with a brief discussion of the implications of the findings.

The purpose of this paper is to empirically analyze the “market-neutral” characteristics of the market-neutral strategy hedge funds in Chinese A-share market.

The analyses in the paper are conducted to study the market-neutral characteristics by means of index analysis, correlation analysis, β-neutral analysis and the three-factor model analysis.

The results show that the performance advantage of the market-neutral strategy hedge funds is obvious. Most market-neutral strategy funds are exposed to market risks and the α strategy funds also have obvious style factor exposure; strictly speaking, all of the market-neutral strategies have not reached the “market-neutral” requirements. This paper also finds that Chinese trading restrictions on stock index futures in September 2015 have a significant impact on Chinese market-neutral strategy hedge funds.

The conclusion of this paper has a certain reference value for understanding the risk characteristics and possible problems of hedge funds in emerging markets, and also has important reference value for investors.

The purpose of this paper is to empirically examine whether investor attention is a significant risk pricing factor.

Using investor attention data from Eastmoney.com, which provides for each stock the number of investors whose watch list includes that stock on a daily basis, this paper constructs a “heat” factor based on the change in investor attention and a “market exposure” factor based on the proportion of attention on a given stock over the attention to all stocks. Using the Fama−MacBeth two-step regression and a rolling analysis, this study examines the ability of the investor attention factor to explain market returns.

The empirical results show that there exists a risk premium for the “heat” factor and “market exposure” factor that is significantly different from zero. This finding shows that investor attention can systematically influence stock returns, making it a significant risk pricing factor.

This paper’s research on the risk pricing factors of investor attention can help investors to rationally build investment portfolios, avoid risks and form a sound investment concept, which will further reveal the information recognition mechanism of the capital market and standardize the information disclosure behavior of listed companies.

This paper provides evidence that investor attention is a risk pricing factor for the stock market. There are “heat” factors and “market exposure” factors in the Chinese stock market that significantly affect the purchasing behavior of individual investors.

The purpose of this study is to measure mutual funds' manager performance by attributing it to their abilities to choose better securities (selectivity effect) and to allocate these securities better than their benchmarks (allocation effect). The study enables the authors to examine the relative contributions of the commonly known asset-pricing factors in mutual funds' performance.

To examine managers' ability to steer funds' returns, the authors conduct a two-dimensional holdings-based analysis using factor-specific decomposition of funds' excess returns into their ability to select and allocate securities better than their benchmarks. Subsequently, the authors conduct an analysis of the covariance (ANCOVA) due to these factors in explaining funds' excess returns over time.

While managers' ability to choose better securities than the benchmarks (the selectivity effect) appears modest, some funds (especially the winners) allocate securities in their portfolios better than their benchmarks (the allocation effect) based on their exposures to certain factors (e.g. the momentum factor for the winner funds). However, although funds consistently gain through their ability to predict the size and value factors well, they do not consistently possess the skills to predict the momentum factor.

Although the paper analyzes all the available diversified funds, the sample excludes several other categories, such as thematic and international funds. Further, the analysis is based on equity-oriented Indian funds. Broader studies of changes in factor exposures and the inclusion of more factors apart from those conventionally used may shed more light on the managers' ability to maneuver these factors.

The results show that mutual fund managers lack persistence in their performance, even though some of them could predict specific factors well. Since the activity in active mutual funds could not lead to superior performance over time, investors could be better off by selecting cheaper passive funds for their long-term investments.

The paper presents a novel approach to studying funds' performance by conducting a two-dimensional holdings-based analysis to capture the relative contributions of common asset-pricing factors in the cross-section as well as over time.

This study aims to introduce a tree-structured linear and quantile regression framework to the analysis and modeling of equity returns, within the context of asset pricing.

The approach is based on the idea of a binary tree, where every terminal node parameterizes a local regression model for a specific partition of the data. A Bayesian stochastic method is developed including model selection and estimation of the tree structure parameters. The framework is applied on numerous U.S. asset pricing models, using alternative mimicking factor portfolios, frequency of data, market indices, and equity portfolios.

The findings reveal strong evidence that asset returns exhibit asymmetric effects and non- linear patterns to different common factors, but, more importantly, that there are multiple thresholds that create several partitions in the common factor space.

To the best of the authors' knowledge, this paper is the first to explore and apply a tree-structured and quantile regression framework in an asset pricing context.

Inconsistency in flexographic platemaking techniques was perceived to influence the print quality and consistency. The results of a factorial designed experiment created to establish which platemaking factors had a significant influence on the flexographic printing quality are reported in this paper. The objective of the experiment was not only to define the optimum platemaking technique, but also to improve the understanding of the characteristics and properties of the photopolymer printing plate and to identify the key interacting factors which have the most significant effect on print quality and consistency. Various statistical methods were employed for the design of the experiment and for the interpretation of experimental data generated. The results of the investigation have been used to fine‐tune the flexographic platemaking techniques to significantly manipulate the properties for the end‐use application to enhance printing performance and consistency of the plates.

Using capital asset pricing model (CAPM) and the Z-risk index based on weekly data, this study aims to estimate yearly unsystematic, total, three systematic and insolvency risks in the Gulf Cooperation Council (GCC) countries for the period 2010–2018. The findings of CAPM show positive systematic market risk exposure in all GCC countries for all years, which support the contribution of stock markets to bank prices and returns. The mixed signs of systematic interest rate and exchange rate risks in GCC countries provide hedging opportunities, diversification strategies and regional cooperation, which help risk managers to hedge and stabilize their portfolios against interest rate and exchange rate fluctuations. Therefore, it is necessary that managers and policymakers develop a monitoring system on factors affecting bank insolvency risks to avoid bankruptcies and insolvencies.

This study uses the three-factor CAPM and Z-risk index to measure six types of risks. The CAPM uses market information to estimate the sensitivity of banks to the fluctuations of equity markets, debt markets and foreign exchange markets. Sharpe (1964), Lintner (1965) and Treynor (1965) developed a single-factor CAPM and the coefficient of the model was called systematic market risk. The single-factor CAPM highlights stock markets as the only non-diversifiable source of systematic risks, whereas Stone (1974) and Jorion (1990) highlighted interest rate and exchange rate fluctuations as the other types of non-diversifiable systematic risks. The following functional form in equation (1) estimates five types of risks using CAPM.

The findings of CAPM show positive systematic market risk exposure in all GCC countries for all years, which support the contribution of stock markets to bank prices and returns based on CAPM theory. The mixed signs of systematic interest rate and exchange rate risks in GCC countries support hedging opportunities and diversification strategies which may help risk managers to hedge and stabilize their portfolios against the fluctuations of interest rate and exchange rate. Although, this policy may decrease the profits of banking sectors but at the same time it would stabilize the portfolios and prevent bankruptcies and big losses because of the fluctuations of interest rate. Moreover, a bank has a better chance to have more liquidity position during financial crises because of the diversifications into different regional markets.

Therefore, this study contributes to the existing literature by using risk measurement by a three-factor CAPM and the Z-risk index as discussed further in methodology.

It is necessary that managers and policymakers develop a monitoring system on factors affecting bank insolvency risks to avoid bankruptcies and insolvencies.

The purpose of this paper is to investigate the dynamics of mutual fund investment flows across the business cycle. To account for the differences in the flow patterns of funds catered for institutional investors and those focusing on retail investors, the author conducts this investigation separately for flows of institutional and retail funds.

The author uses the sample of US equity mutual funds for the period between 1999 and 2012. For the samples of each type of fund, the author performs separate analyses for expansion and recession periods. Following Sirri and Tufano (1998), the author implements the Fama MacBeth (1973) approach.

The author finds that flow patterns of both fund types vary across the business cycle. For example, the results reveal that during bad times, institutional investors demonstrate weaker return-chasing behavior, while paying higher attention to Jensen’s α, than during good times. In addition, the author reports results on the effect of fund exposure to various systematic risk factors. For instance, the author observes that during economic downturns, investors of both fund types tend to punish managers with higher market exposure. During expansions, the fund’s market exposure positively affects flows of institutional funds, while its effect on the flows of retail funds remains negative.

To the best of the author’s knowledge, this is the first study that investigates mutual fund investment flow patterns across the business cycle, while simultaneously accounting for differences in flow patterns between retail and institutional funds. A further contribution of this paper is that it explores the previously overlooked relationships between fund flows and their exposure to various systematic risk factors.

The purpose of this study is to identify factors instrumental in developing entrepreneurial intentions among youth. Although, numerous studies have been conducted focusing on entrepreneurship intention, however, this study attempts to provide an integrated model by means of analyzing the impact of internal (personal) and external (environmental) factors in developing entrepreneurial intentions.

This cross-sectional study is based on primary and secondary data. A sample of 358 respondents belonging to the age group of 21–25 years from various universities and colleges in Kashmir participated in the study. Primary data collection was done using self-administered questionnaires. A purposive sampling approach was used to identify respondents for the current study. Structural equation modeling has been used for testing hypotheses besides other statistical methods and techniques.

The study identifies three important antecedents of entrepreneurship intentions, namely, personal competencies, contextual factors and entrepreneurial exposure and tests the relationships using path analysis. It further suggests that there exists a significant relationship between personal competencies, entrepreneurial exposure, contextual elements and entrepreneurial intention.

The paper presents an integrated and comprehensive model of entrepreneurial intentions discussing important antecedents instrumental in developing entrepreneurship intentions among youth considering both personal and environmental factors. It is, therefore, an important contribution toward entrepreneurship literature and of interest to different policymakers and institutions related to entrepreneurship.