Search Results - subject:"HEDGE FUNDS"

A Vector Error Correction Model (VECM) Approach to Investigate the Linear Behaviour of Stocks, Bonds and Hedge Funds

Gupta, Himanshu; Jain, Manjula - 2022

bidirectional short-run linear causality between stocks, bonds and hedge funds. In addition, the result also highlights that there … exists a bidirectional long-run linear causality among stocks bonds and hedge funds while there is a unidirectional long …-run linear causality between stocks and hedge funds. The outcome of this study is extremely useful to the institutional asset …

Persistent link: https://www.econbiz.de/10013293906

Macro Sentiment Risk and Hedge Fund Returns

Caglayan, Mustafa Onur; Canayaz, Mehmet; Simin, Timothy T. - 2022

Using a novel dataset of media sentiment concerning macroeconomic developments, we show that sentiment for economic growth, inflation, unemployment, and bond prices predict hedge fund returns. We blend these proxies with social disorder and political sentiment to create a broad macro sentiment...

Persistent link: https://www.econbiz.de/10013294132

Gender Differences in Hedge Fund Performance Persistence

Klubinski, William Joseph; Verousis, Thanos; Tsoligkas, … - 2022

This paper analyses gender differences in hedge fund (HF) performance persistence using parametric and non-parametric risk-adjusted-performance persistence indicators. We find evidence consistent with performance persistence, which in relative (risk-adjusted) terms, is more pronounced amongst...

Persistent link: https://www.econbiz.de/10013294475

Hedge Fund Incentives, Risk Taking, and Asset Prices

Elsaify, Morad - 2022

. This allows me to explore the impact of hedge funds’ prototypical contract structure on their dynamic risk allocations and …-water mark. My empirical work is consistent with the implications of the model in that hedge funds at and furthest from their … more volatile securities. Further, as more hedge funds approach their high-water marks, aggregate hedge fund risk taking …

Persistent link: https://www.econbiz.de/10013295058

The Performance of Hedge Fund Industry During the COVID-19 Crisis – Theoretical Characteristics and Empirical Aspects

Ganchev, Alexander - 2022

The study reveals that the COVID-19 crisis has had a strong but one-off negative impact on the hedge fund industry. It also shows that during the new coronavirus pandemic, the main components of the hedge fund industry achieved only partially their main investment goal, i.e. they as a whole...

Persistent link: https://www.econbiz.de/10013300002

Do alpha males deliver alpha? : facial width-to-height ratio and hedge funds

Lu, Yan; Teo, Melvyn - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 1727-1770

Persistent link: https://www.econbiz.de/10013367035

Where do shareholder gains in hedge fund activism come from? : evidence from employee pension plans

Agrawal, Anup; Lim, Yuree - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2140-2176

Persistent link: https://www.econbiz.de/10013367108

Social networks and hedge fund activism

He, Yazhou Ellen; Li, Tao - In: Review of finance : journal of the European Finance … 26 (2022) 5, pp. 1267-1308

Persistent link: https://www.econbiz.de/10013399736

Retail Hedge Funds

Sinclair, Andrew; Zhang, Chuyi - 2022

We use a novel fund-level measure to identify 877 retail hedge funds. On average, retail funds do not underperform …

Persistent link: https://www.econbiz.de/10013403558

Luck or Skill : What Drives Hedge Fund Performance Persistence?

Ipatova, Ekaterina; Parhi, Mamata; Mishra, Tapas; … - 2022

performance persistence over the time horizon. However, up to 80% of hedge funds appear to be ‘lucky’ performers, confirmed upon … undertaking a battery of robustness measures. We name those ‘lucky’ hedge funds, which pass the classical persistence selection …

Persistent link: https://www.econbiz.de/10013403598