http://repub.eur.nl/res/aut/4770/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/37679/ 2012-05-01T00:00:00Z Institutional investors must deal with irrevocable commitments, cash flow uncertainty, and illiquidity when making new commitments to maintain their portfolio exposure to private equity funds. This study develops a dynamic recommitment strategy to preserve the strategic allocation to private equity. For each period, the level of new commitments is determined by characteristics of the existing private equity portfolio, including received distributions, uncalled capital from old commitments, and the current allocation relative to its target level. [PUBLICATION ABSTRACT] http://repub.eur.nl/res/pub/16035/ 2009-06-01T00:00:00Z We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly accounts for trading restrictions on foreign capital movements by using non-deliverable forward data. We document that both types of information can be exploited to implement profitable trading strategies. In line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis, we find that combining the two types of information improves the risk-adjusted performance of the investment strategies. http://repub.eur.nl/res/pub/12703/ 2008-06-26T00:00:00Z This dissertation consists of five empirical studies on financial markets. Each study can be read independently and covers a specific market, either private equity, corporate bonds or emerging markets. The first study documents that risk factors cannot account for the significant excess returns of selection strategies based on value, momentum or earnings revisions indicators in the emerging equity market. The second study presents empirical evidence that security analysts do not efficiently use publicly available macroeconomic information in their earnings forecasts for emerging markets’ companies. The third study focuses on the emerging currency market and shows that a combination of macroeconomic variables and technical trading rules can be exploited to implement profitable trading strategies. Combining these two types of information improves the risk-adjusted performance. In the study on the corporate bond market we document that common risk factors do a good job in explaining the cross-section of returns on corporate bond portfolios with medium to long maturity, but significantly underestimate the returns on corporate bonds with a short maturity. Comparable evidence of a short-term corporate bond anomaly also shows up in portfolios of corporate bond mutual funds. In the last study we set out a commitment strategy that allows an investor in private equity to maintain a constant portfolio allocation to private equity given the uncertain nature of future cash flows and the limited liquidity. http://repub.eur.nl/res/pub/11556/ 2008-03-03T00:00:00Z This paper presents empirical evidence that security analysts do not efficiently use publicly available macroeconomic information in their earnings forecasts for emerging market stocks. Analysts completely ignore forecasts on political stability, while these provide valuable information for firm-level earnings growth. Analysts do incorporate output growth forecasts, but these actually bear no relevant information for firm-level earnings growth. Inflation forecasts are taken into account correctly. In addition, the information environment appears to be crucially important in emerging markets, as we find evidence that analysts handle macroeconomic information in a better way for more transparent firms. http://repub.eur.nl/res/pub/32421/ 2008-03-01T00:00:00Z Objective: We question the need for packing of the ear canal after ear surgery. For several years, it had not been the first author's standard practice to use post-operative ear packing. During this period, few problems or complications had been encountered. Setting: Tertiary referral, academic, paediatric hospital. Materials and methods: A retrospective review of all children who had undergone major ear surgery in our unit over the last year was carried out. These cases represented a full range of otological procedures. Post-operative complications and infections in the first six post-operative weeks were recorded. Results: A total of 135 ears were operated upon in 107 patients ranging in age from 11 months to 19 years (mean 9.5 years). During this time period, eight children (7.5 per cent) developed a post-operative ear infection. No cases of tympanic or meatal granulations, problems with the tympanomeatal flap, or meatal stenosis were encountered. All infections were successfully managed with topical antibiotics. Discussion: We conclude that packing after ear surgery may be safely abandoned. This would not only save valuable operating time, but would also obviate the need for pack removal, always a source of discomfort and anxiety. This is especially important in children, who may subsequently require a further general anaesthesia in order to remove the pack. http://repub.eur.nl/res/pub/10892/ 2007-12-24T00:00:00Z This paper develops a reinvestment strategy for private equity which aims to keep its portfolio weight equal to a desired strategic allocation, while taking into account the illiquid nature of private equity. Historical simulations (1980-2005) show that our dynamic strategy is capable of maintaining a stable investment level that is close to the target. This does not only hold for unrestricted portfolios, but also for investments limited to buyout or venture capital, a specific region, or management experience. This finding is of great importance for investors, because private equity funds have a finite lifetime and uncertain cash flows. http://repub.eur.nl/res/pub/10891/ 2007-12-21T00:00:00Z We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly accounts for trading restrictions on foreign capital movements by using non-deliverable forward data. We document that both types of information can be exploited to implement profitable trading strategies. In line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis, we find that combining the two types of information improves the risk-adjusted performance of the investment strategies. http://repub.eur.nl/res/pub/11140/ 2005-09-01T00:00:00Z We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for value and momentum strategies are consistent with the evidence from developed markets supporting behavioral explanations. In addition, for value stocks, the most important behavioral bias appears to be related to underestimation of long-term growth prospects, as indicated by above average earnings revisions for longer post-formation horizons and by quite rapidly improving earnings growth expectations. Furthermore, we find that overreaction effects play a limited role for the earnings revisions strategy, as there is no clear return reversal until five years after portfolio formation, setting this strategy apart from momentum strategies. http://repub.eur.nl/res/pub/1922/ 2005-03-29T00:00:00Z We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for value and momentum strategies are consistent with the evidence from developed markets supporting behavioral explanations. In addition, for value stocks, the most important behavioral bias appears to be related to underestimation of long-term growth prospects, as indicated by overly pessimistic analysts' earnings forecasts and above average earnings revisions for longer postformation horizons and by quite rapidly improving earnings growth expectations. Furthermore, we find that overreaction effects play a limited role for the earnings revisions strategy, as there is no clear return reversal up until five years after portfolio formation, setting this strategy apart from momentum strategies.