Slavutskaya, Anna - In: Journal of Banking & Finance 37 (2013) 11, pp. 4404-4431
Hedge fund returns are often explained using linear factor models such as Fung and Hsieh (2004). However, since most … hedge funds live only for 3years, these linear regressions are subject to over-parameterization. I improve the out …-of-sample accuracy of the linear factor model by combining cross-sectional and time series information for groups of hedge funds with …