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Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

The procyclicality of hedge fund alpha and beta

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 109-128

Persistent link: https://www.econbiz.de/10010209488

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318

Persistent link: https://www.econbiz.de/10012671925

The q-factor and the Fama and French asset pricing models : hedge fund evidence

Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Managerial finance 42 (2016) 12, pp. 1180-1207

Persistent link: https://www.econbiz.de/10011572944

How skilful are US fixed-income fund managers?

Clare, Andrew D.; Cuthbertson, Keith; Nitzsche, Dirk; … - In: International review of financial analysis 74 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803822

Multi-moment risk, hedging strategies, & the business cycle

Racicot, François-Éric; Théoret, Raymond - In: International review of economics & finance : IREF 58 (2018), pp. 637-675

Persistent link: https://www.econbiz.de/10012034253

Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 207-240

Persistent link: https://www.econbiz.de/10010462900

Integrating volatility factors in the analysis of the hedge fund alpha puzzle

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 10 (2009/10) 1, pp. 37-62

Persistent link: https://www.econbiz.de/10003853609

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

Persistent link: https://www.econbiz.de/10013169857

Exploring asset pricing anomalies

Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19

Persistent link: https://www.econbiz.de/10011368742