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in explaining expected stock returns. Using a large number of predictors, we forecast the cross-sectional ranks of …
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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...
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) heteroskedasticity and autocorrelation. Without imposing any parametric structure on the error terms, we consider the semiparametric …
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