It is well known that the pro forma performance of a sample of investment funds contains
biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) …

This paper reviews the policy responses of Indonesia, Korea, and Thailand to the Asian
crisis that erupted in 1997 and compares the actions of these three countries with those of …

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

This paper provides an overview of the recent theoretical and empirical research on herd
behavior in financial markets. It looks at what precisely is meant by herding, the causes of …

The recent wave of financial globalization since the mid-1980s has been marked by a surge
in capital flows among industrial countries and, more notably, between industrial and …

We propose a new approach to detecting and measuring herding which is based on the
cross-sectional dispersion of the factor sensitivity of assets within a given market. This …

Following a review of the data and methodological difficulties in applying conventional
models used for traditional asset class indexes to hedge funds, this article argues against …

I stand here with deeply conflicting emotions. I am honored to be delivering this prestigious
lecture. I am profoundly sad that Rudi Dornbusch, who should have delivered the Ely …

This paper examines country specific herding behavior in European liquid constituent
indices for the period of 2001–2012. While we report insignificant results for the whole …

Transparency is on the rise, touted as the solution to such disparate problems asfinancial
volatility, environmental degradation, money laundering, and corruption. Buttransparency …