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Systemic risk and cross-sectional hedge fund returns

Hwang, Inchang; Xu, Simon; In, Francis Haeuck; Kim, Tong Suk - In: Journal of empirical finance 42 (2017), pp. 109-130

Persistent link: https://www.econbiz.de/10011808555

Efficiency and persistence of Spanish absolute Return Funds

Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 186-214

Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...

Persistent link: https://www.econbiz.de/10011870722

Persistence of hedge fund returns and fee-aware portfolio construction

Rudin, Alexander - In: The journal of portfolio management : a publication of … 44 (2018) 5, pp. 103-112

Persistent link: https://www.econbiz.de/10011879530

An SDF approach to hedge funds' tail risk : evidence from Brazilian funds

Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88

Persistent link: https://www.econbiz.de/10011860505

What drives the high moments of hedge fund returns?

Baker, H. Kent; Chkir, Imed Eddine; Saadi, Samir; … - In: Applied economics 49 (2017) 8, pp. 738-755

Persistent link: https://www.econbiz.de/10011810885

Tracking hedge funds returns using sparse clones

Giuzio, Margherita; Eichhorn-Schott, Kay; Paterlini, Sandra - In: Analytical models for financial modeling and risk management, (pp. 349-371). 2018

Persistent link: https://www.econbiz.de/10011897189

Liquidity provision and the cross section of hedge fund returns

Jame, Russell - In: Management science : journal of the Institute for … 64 (2018) 7, pp. 3288-3312

Persistent link: https://www.econbiz.de/10011899770

The relationship between hedge fund performance and stock market sentiment

Yao, Zheng; Osmer, Eric - In: Review of Pacific Basin financial markets and policies 21 (2018) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011911876

The role of derivatives in hedge fund activism

Guo, Jie Michael; Gang, Jianhua; Hu, Nan; Utham, Vinay - In: Quantitative finance 18 (2018) 9, pp. 1531-1541

Persistent link: https://www.econbiz.de/10011913194

Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2199-2225

Persistent link: https://www.econbiz.de/10011959083