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Upside potential of hedge funds as a predictor of future performance

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of banking & finance 98 (2019), pp. 212-229

Persistent link: https://www.econbiz.de/10012162272

Is economic uncertainty priced in the cross-section of stock returns?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489

Persistent link: https://www.econbiz.de/10011818201

A lottery-demand-based explanation of the beta anomaly

Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397

Persistent link: https://www.econbiz.de/10011929337

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

Do hedge funds exposures to risk factors predict their future returns?

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 101 (2011) 1, pp. 36-68

Persistent link: https://www.econbiz.de/10009242998

Do hedge funds outperform stocks and bonds?

Bali, Turan G.; Brown, Stephen J.; Demirtas, K. Ozgur - In: Management science : journal of the Institute for … 59 (2013) 8, pp. 1887-1903

Persistent link: https://www.econbiz.de/10009788943

Does industry timing ability of hedge funds predict their future performance, survival, and fund flows?

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O.; … - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 6, pp. 2136-2169

Persistent link: https://www.econbiz.de/10012618504

Disagreement in economic forecasts and equity returns : risk or mispricing?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341

Persistent link: https://www.econbiz.de/10014362710

Do hedge funds' exposures to risk factors predict their future returns?

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur - In: Journal of Financial Economics 101 (2011) 1, pp. 36-68

This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and non-parametric tests indicate a...

Persistent link: https://www.econbiz.de/10009146556

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur - In: Journal of Financial Economics 106 (2012) 1, pp. 114-131

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and...

Persistent link: https://www.econbiz.de/10010593845