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Hedge fund holdings and stock market efficiency
Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - 2014
Persistent link: https://www.econbiz.de/10010433420
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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106751
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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106936
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Hedge Fund Holdings and Stock Market Efficiency
Cao, Charles - 2017
We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in...
Persistent link: https://www.econbiz.de/10012969070
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Hedge Fund Holdings and Stock Market Efficiency
Cao, Charles - 2014
We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity...
Persistent link: https://www.econbiz.de/10013053677
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Do Hedge Fund Fire Sales Disrupt the Stock Market?
Boyson, Nicole M. - 2013
Using a comprehensive dataset of hedge fund 13F filings, we analyze hedge fund trading from 1998-2010 to determine if investor redemptions cause fire sales and stock market disruptions. We find evidence of hedge fund fire sales in the two quarters with the worst stock market performance. During...
Persistent link: https://www.econbiz.de/10013079674
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Gold against Asian stock markets during the COVID-19 outbreak
Yousaf, Imran; Bouri, Elie; Ali, Shoaib; Azoury, Nehme - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-23
This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 …-19 sub-period. The hedging effectiveness for most Asian stock markets is higher during the COVID-19 sub-period. Further …
Persistent link: https://www.econbiz.de/10012522356
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Economic policy uncertainty and cryptocurrency market as a risk management avenue : a systematic review
Ul Haq, Inzamam; Maneengam, Apichit; Chupradit, Supat; … - In: Risks : open access journal 9 (2021) 9, pp. 1-24
hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund …
Persistent link: https://www.econbiz.de/10012632009
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The COVID-19 outbreak and risk-return spillovers between main and SME stock markets in the Mena region
Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28
to determine and explore portfolio design and hedging implications. The results show that while bidirectional return …
Persistent link: https://www.econbiz.de/10012804860
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Spillovers between cryptocurrencies, gold and stock markets : implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of economics, finance & administrative science 29 (2024) 57, pp. 21-41
investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In … contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality … helping investors to identify optimal diversification and hedging strategies during a crisis. …
Persistent link: https://www.econbiz.de/10014506805