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Hedge fund characteristics and performance persistence

Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2010

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...

Persistent link: https://www.econbiz.de/10009306604

The performance of actively and passively managed Swiss equity funds

Ammann, Manuel; Steiner, Michael - 2009

Persistent link: https://www.econbiz.de/10003906289

The performance of actively and passively managed Swiss equity funds

Ammann, Manuel; Steiner, Michael - In: Swiss journal of economics and statistics 145 (2009) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10003832157

The q-factor model and the redundancy of the value factor : an application to hedge funds

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 17 (2016) 7, pp. 526-539

Persistent link: https://www.econbiz.de/10011648215

Testing the new Fama and French factors with illiquidity : a panel data investigation

Racicot, François-Éric; Rentz, William F.; Théoret, … - In: Finance : revue de l'Association Française de Finance 39 (2018) 3, pp. 45-102

Persistent link: https://www.econbiz.de/10012025798

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

On optimal instrumental variables generators, with an application to hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 30-43

Persistent link: https://www.econbiz.de/10003813388

Conditional financial models and the alpha puzzle : a panel study of hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 11 (2008/09) 2, pp. 59-77

Persistent link: https://www.econbiz.de/10003816000

Optimal instrumental variables generators based on improved Hausman regression, with an application to hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 13 (2010) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10003981786

Has hedge fund alpha disappeared?

Ammann, Manuel; Huber, Otto; Schmid, Markus M. - In: Journal of investment management : JOIM 9 (2011) 1, pp. 50-71

Persistent link: https://www.econbiz.de/10008908873