Similar Search Results

Illiquidity premia in asset returns : an empirical analysis of hedge funds, mutual funds, and US equity portfolios

Khandani, Amir E.; Lo, Andrew W. - In: The quarterly journal of finance 1 (2011) 2, pp. 205-264

Persistent link: https://www.econbiz.de/10009309753

Investing with style

Asness, Cliff; Ilmanen, Antti; Israel, Ronen; … - In: Journal of investment management : JOIM 13 (2015) 1, pp. 27-63

Persistent link: https://www.econbiz.de/10011635183

Illiquidity Premia in Asset Returns : An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Khandani, Amir - 2009

We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer...

Persistent link: https://www.econbiz.de/10013158586

Illiquidity Premia in Asset Returns : An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Khandani, Amir - 2010

Persistent link: https://www.econbiz.de/10013146731

Diversification with risk factors and investable hedge fund indices

Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116

Persistent link: https://www.econbiz.de/10011411941

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

A dynamic analysis of higher-comoment risk premiums in hedge fund returns

Lambert, Marie - In: Journal of derivatives & hedge funds 18 (2012) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10009535195

Robust leverage choice of hedge funds with rare disasters

Yan, Jingzhou; Mu, Congming; Yan, Qianhui; Luo, Deqing - In: Finance research letters 54 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014472621

Does secrecy signal skill? : own-investor secrecy and hedge fund performance

Gorovyy, Sergiy; Kelly, Patrick; Kuzʹmina, Olʹga - In: Journal of banking & finance 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256712

Opacity in financial markets

Sato, Yuki - In: The review of financial studies 27 (2014) 12, pp. 3502-3546

Persistent link: https://www.econbiz.de/10010530805

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