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Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?
Gibson, Rajna; Wang, Songtao - 2008
This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …
Persistent link: https://www.econbiz.de/10003966170
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On the efficiency of risk measures for funds of hedge funds
Laube, Falk; Schiltz, Jang; Terraza, Virginie - In: Journal of derivatives & hedge funds 17 (2011) 1, pp. 63-84
Persistent link: https://www.econbiz.de/10009158031
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Risk characterization, stale pricing and the attributes of hedge funds performance
Jordan, Amy Elizabeth; Simlai, Pradosh - In: Journal of derivatives & hedge funds 17 (2011) 1, pp. 16-33
Persistent link: https://www.econbiz.de/10009158039
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Weather risk management : a guide for corporation, hedge funds and investors
Tang, Kenny (contributor) - 2010
Persistent link: https://www.econbiz.de/10009159617
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009549499
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Funds of hedge funds : performance, risk and capital formation 2005 to 2010
Edelman, Daniel; Fung, William; Hsieh, David A.; Naik, … - In: Financial markets and portfolio management 26 (2012) 1, pp. 87-108
Persistent link: https://www.econbiz.de/10009553665
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Do hedge funds exposures to risk factors predict their future returns?
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 101 (2011) 1, pp. 36-68
Persistent link: https://www.econbiz.de/10009242998
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Hedge funds performance ratios adjusted to market liquidity risk
Clauss, Pierre - In: Journal / The Capco Institute : journal of financial … 31 (2011), pp. 133-139
Persistent link: https://www.econbiz.de/10009488443
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 868-895
Persistent link: https://www.econbiz.de/10011417824