Similar Search Results

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Birds of a feather : do hedge fund managers flock together?

Gerritzen, Marc; Jackwerth, Jens Carsten; Plazzi, Alberto - 2016

Mandatory filings for UK hedge funds allow analysis of the effect of managerial employment networks on investment behavior. Employment in the same firm leads to significantly more similar investment behavior in terms of raw returns, abnormal performance (alpha), systematic risk (beta), and...

Persistent link: https://www.econbiz.de/10011515858

A model-free identification of relative risk

Kuzmina, Olga - In: Economics letters 190 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012228132

Different strokes by different folks : the dynamics of hedge fund systematic risk exposure and performance

Huang, Ying; Chen, Carl R.; Kato, Isamu - In: International review of economics & finance : IREF 48 (2017), pp. 367-388

Persistent link: https://www.econbiz.de/10011747317

Do hedge funds bet against beta?

Malachov, Aleksej; Riley, Timothy B.; Yan, Qing - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1507-1525

Persistent link: https://www.econbiz.de/10014535483

Hedge fund boards and the market for independent directors

Clifford, Christopher P.; Ellis, Jesse A.; Gerken, … - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2067-2101

Persistent link: https://www.econbiz.de/10011959072

Der Lebenszyklus von Hedgefonds : Grundlagen, Modellierung und empirische Evidenz

Kaiser, Dieter G. (contributor) - 2007

Im Sinne der Effizienzmarkttheorie nutzen Hedgefonds Marktpreisanomalien und dienen damit der Steigerung der … Markteffizienz. Mit auf Arbitrage ausgerichteten Strategien können Hedgefonds überdurchschnittliche risikoadjustierte Erträge … Ineffizienzen zu handeln. Dieter G. Kaiser geht der Frage nach, ob Hedgefonds einem Produktlebenszyklus unterliegen. Hierzu …