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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
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Essays in empirical finance
Novikov, Dmitry - 2004
Persistent link: https://www.econbiz.de/10003551576
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The performance of currency hedge funds and the yen/USD carry trade
Peltomäki, Jarkko - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 103-113
Persistent link: https://www.econbiz.de/10009159831
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Illiquidity premia in asset returns : an empirical analysis of hedge funds, mutual funds, and US equity portfolios
Khandani, Amir E.; Lo, Andrew W. - In: The quarterly journal of finance 1 (2011) 2, pp. 205-264
Persistent link: https://www.econbiz.de/10009309753
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Hedge fund performance in bull and bear markets : alpha creation and risk exposure
Sandvik, Sjur Hordvik; Frydenberg, Stein; Westgaard, Sjur; … - In: The journal of investing 20 (2011) 1, pp. 52-77
Persistent link: https://www.econbiz.de/10009312577
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Asymmetric risk exposures in hedge funds
Shao, Sandra Yi - 2007
Persistent link: https://www.econbiz.de/10009689758
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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
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A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007 - 2009 financial crisis
Van Heerden, Chris; Heymans, André; Van Vuuren, Gary; … - In: International business and economics research journal 13 (2014) 1, pp. 169-189
Persistent link: https://www.econbiz.de/10010251617
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Diversification with risk factors and investable hedge fund indices
Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116
Persistent link: https://www.econbiz.de/10011411941
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Hedge funds and stock market efficiency
Kokkonen, Joni; Suominen, Matti - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 2890-2904
Persistent link: https://www.econbiz.de/10011413502