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...

One of the major concerns in todays’ world of economic finance, especially investments in asset classes like stocks and bonds, is whether the returns on these asset classes are linear or non-linear. To test the linearity behaviour, this paper employs the Granger causality test (Granger, 1969)...