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Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

The procyclicality of hedge fund alpha and beta

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 109-128

Persistent link: https://www.econbiz.de/10010209488

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318

Persistent link: https://www.econbiz.de/10012671925

Hedge fund performance persistence under different business cycles and stock market regimes

Stafylas, Dimitrios; Andrikopoulos, Athanasios; … - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014246841

Cyclical Dependence in Market Neutral Hedge Funds

Gálvez, Julio; Crego, Julio A. - 2022

We examine linear correlation and tail dependence between market neutral hedge funds and the market portfolio conditional on the financial cycle. We document that the low correlation between these funds and the S&P 500 consists of a negative correlation during bear periods and a positive one...

Persistent link: https://www.econbiz.de/10014235763