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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
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Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2019
Persistent link: https://www.econbiz.de/10012026360
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The relationship between hedge fund performance and stock market sentiment
Yao, Zheng; Osmer, Eric - In: Review of Pacific Basin financial markets and policies 21 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011911876
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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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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 dynamic analysis of higher-comoment risk premiums in hedge fund returns
Lambert, Marie - In: Journal of derivatives & hedge funds 18 (2012) 1, pp. 73-84
Persistent link: https://www.econbiz.de/10009535195
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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