Similar Search Results

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

The COVID-19 outbreak and risk-return spillovers between main and SME stock markets in the Mena region

Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28

to determine and explore portfolio design and hedging implications. The results show that while bidirectional return …

Persistent link: https://www.econbiz.de/10012804860

Relative Value Hedge Funds : A Behavioral Modeling of Hedge Fund Risk and Return Factors

Swartz, Lee Mick - 2018

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative Value hedge fund strategies. Second, the authors introduce 3 families of behavioral factors, the D family, the L family, and the R family. In contrast to previous hedge fund...

Persistent link: https://www.econbiz.de/10012923264

Hedge fund performance under misspecified models

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020

We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

Persistent link: https://www.econbiz.de/10012419384

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging … information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management. …

Persistent link: https://www.econbiz.de/10012317582

Shocks Implication on the Fundamental Drivers of Pan-European Equity Reits : Volatility Connectedness

Nassili, Naoufal - 2019

The European economic integration and the financialization of the real estate certainly brought enormous contributions for the investment in this class of asset, on the other hand, the faster propagation of the shocks and the sudden corrections of markets become serious subjects. The aim of this...

Persistent link: https://www.econbiz.de/10012864336

The Alpha Bias in Asset Allocation Performance Measurement

Chance, Don M. - 2014

Professional asset allocators frequently report positive alphas, and the generation of alpha is widely discussed in the context of asset allocation. This paper demonstrates that two-fund asset allocation strategies contain a positive-alpha bias and derives an expression for the alpha of an asset...

Persistent link: https://www.econbiz.de/10013067848

Simulating Historical Inflation-Linked Bond Returns

Swinkels, Laurens - 2018

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond...

Persistent link: https://www.econbiz.de/10012934959

The Cross-Section of Individual Equity Option Returns

Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022

This paper evaluates the underperformance of individual equity options relative to their replicating portfolios. Considering a high-dimensional set of variables, we use a machine learning approach to identify the characteristics of options and their underlying stocks that provide incremental...

Persistent link: https://www.econbiz.de/10013322614

1
2
3
4
5
6
7
8
9
10
Next
Last