Narrow search
Showing 1 - 10 of 308
Cover Image
Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip S.; Huij, Joop - 2010
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10008666525
Cover Image
Do Higher-Moment Equity Risks Explain Hedge Fund Returns?
Agarwal, Vikas - 2011
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10012714207
Cover Image
Working paper / Centre for Financial Research
Centre for Financial Research <Köln> - Köln : CFR - 2004 -
Persistent link: https://www.econbiz.de/10003760935
Cover Image
Are the Fama-French factors really compensation for distress risk?
Groot, Wilma de; Huij, Joop - In: Journal of international money and finance 86 (2018), pp. 50-69
Persistent link: https://www.econbiz.de/10012000470
Cover Image
On the use of multifactor models to evaluate mutual fund performance
Huij, Joop; Verbeek, Marno - In: Financial management 38 (2009) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10003851324
Cover Image
Another look at trading costs and short-term reversal profits
Groot, Wilma de; Huij, Joop; Chow, Wei-Liang - In: Journal of banking & finance 36 (2012) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10009511316
Cover Image
The performance of European index funds and exchange-traded funds
Blitz, David; Huij, Joop; Swinkels, Laurens - In: European financial management : the journal of the … 18 (2012) 4, pp. 649-662
Persistent link: https://www.econbiz.de/10009665573
Cover Image
Residual momentum
Blitz, David; Huij, Joop; Martens, Martin - In: Journal of empirical finance 18 (2011) 3, pp. 506-521
Persistent link: https://www.econbiz.de/10009302077
Cover Image
On the performance of emerging market equity mutual funds
Huij, Joop; Post, Thierry - In: Emerging markets review 12 (2011) 3, pp. 238-249
Persistent link: https://www.econbiz.de/10009306833
Cover Image
Global equity fund performance, portfolio concentration, and the fundamental law of active management
Huij, Joop; Derwall, Jeroen - In: Journal of banking & finance 35 (2011) 1, pp. 155-165
Persistent link: https://www.econbiz.de/10009244431