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The market timing skills of hedge funds during the financial crisis

Cave, Arnaud; Hübner, Georges; Sougne, Danielle - In: Managerial finance 38 (2012) 1, pp. 4-26

Persistent link: https://www.econbiz.de/10009488363

The analysis of relative performance of London hedge funds during the financial crisis

Piluso, Fabio; Amerise, Ilaria L.; Neelankavil, James P. - In: International journal of financial markets and derivatives 3 (2013) 2, pp. 91-113

Persistent link: https://www.econbiz.de/10010359644

The Market Timing Skills of Hedge Funds During the Financial Crisis

Cavé, Arnaud - 2011

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with...

Persistent link: https://www.econbiz.de/10013125155

Market Runs of Hedge Funds During Financial Crises

Sung, Sangwook - 2015

, sensitively react to other funds' investment decisions. In this environment, we use a global game technique to show the likelihood …), hedge funds reduce investment prior to runs. In addition, by calculating the ex ante probability of market runs, the model …

Persistent link: https://www.econbiz.de/10013019676

Hedge fund performance during and after the crisis : a comparative analysis of strategies 2007-2017

Metzger, Nicola; Shenai, Vijay - In: International Journal of Financial Studies : open … 7 (2019) 1/15, pp. 1-31

investment in the S&P500. Over the entire period of the research (June 2007–January 2017), seven strategies performed better than …

Persistent link: https://www.econbiz.de/10012038535

Hedge Fund Biases after the Financial Crisis

Kaiser, Dieter G. - 2011

In this paper, we explore how hedge fund database biases developed during the 2007-2009 financial crisis. Our sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period. The theoretical foundation of this paper draws from Fung...

Persistent link: https://www.econbiz.de/10013127131

Hedge Funds During the Credit Crisis : How Have They Performed?

Ceron, Jorge - 2015

This study examines hedge fund performance over the ongoing Sub-prime and credit crisis. We will determine how funds have changed their strategies to cope with the recent downturn. We will also conduct a post mortem analysis on failed and underperforming funds to determine “what went wrong”...

Persistent link: https://www.econbiz.de/10013029796