The main purpose of this paper is to investigate if hedge funds create abnormal risk-adjusted returns, both during bull and bear markets. The model applied is an extended multi-factor model. The dataset consists of hedge fund return series with data from a fifteen-year period ranging from 1994...

Utilizing a dataset of 1,899 U.S. hedge funds, we present evidence of anti-herding behavior among hedge fund managers in the U.S. Hedge funds anti-herd primarily based on fundamental information and irrespective of market volatility and credit deterioration conditions although funding...