Showing 1 - 10 of 15,165
Persistent link: https://www.econbiz.de/10012887205
Persistent link: https://www.econbiz.de/10013268141
Persistent link: https://www.econbiz.de/10012391386
Persistent link: https://www.econbiz.de/10012128756
Persistent link: https://www.econbiz.de/10012117724
This paper produces multiple fund-of-funds’ portfolios based on sorting and a novel non-parametric approach to lend in-depth insights into the extent hedge fund returns display higher order (non-linear) persistence patterns. By exploiting monthly data from Hedge Fund Research Database between...
Persistent link: https://www.econbiz.de/10013403598
Persistent link: https://www.econbiz.de/10013199114
investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market … timing and volatility timing skills of fund managers. Our findings show that Australian hedge fund managers do not possess … managers do not have market volatility timing skills, their US counterparts do exhibit such skills. …
Persistent link: https://www.econbiz.de/10003825796
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment...
Persistent link: https://www.econbiz.de/10013095088
We study how fast investors learn about manager skills by examining the speed at which their disagreement converges. Using a novel measure of disagreement, we find that hedge fund investors learn as fast as suggested by Bayes' rule. However, we also find mutual fund investors learn much more...
Persistent link: https://www.econbiz.de/10012936558