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Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip; Huij, Joop - 2009
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10010302540
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Do Higher-Moment Equity RisksExplain Hedge Fund Returns?
Agarwal, Vikas; Bakshi, Gurdip; Huij, Joop - Centre for Financial Research <Köln> - 2009
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks basedon the systematic pattern and significant spread in alphas from the existing models that do notcontrol for the higher-moment risks. The spread and pattern in alphas do not disappear withbootstrap...
Persistent link: https://www.econbiz.de/10009302631
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On the use of multifactor models to evaluate mutual fund performance
Huij, Joop; Verbeek, Marno - In: Financial management 38 (2009) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10003851324
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REIT momentum and the performance of real estate mutual funds
Derwall, Jeroen; Huij, Joop; Brounen, Dirk; Marquering, … - In: Financial analysts' journal : FAJ 65 (2009) 5, pp. 24-34
Persistent link: https://www.econbiz.de/10003891687
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Cross-sectional learning and short-run persistence in mutual fund performance
Huij, Joop; Verbeek, Marno - In: Journal of banking & finance 31 (2007) 3, pp. 973-997
Persistent link: https://www.econbiz.de/10003429966
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Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip S.; Huij, Joop - 2010
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10008666525
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"Hot hands" in bond funds
Huij, Joop; Derwall, Jeroen - In: Journal of banking & finance 32 (2008) 4, pp. 559-572
Persistent link: https://www.econbiz.de/10003707685
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Another look at trading costs and short-term reversal profits
Groot, Wilma de; Huij, Joop; Chow, Wei-Liang - In: Journal of banking & finance 36 (2012) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10009511316
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Global equity fund performance, portfolio concentration, and the fundamental law of active management
Huij, Joop; Derwall, Jeroen - In: Journal of banking & finance 35 (2011) 1, pp. 155-165
Persistent link: https://www.econbiz.de/10009244431
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Residual momentum
Blitz, David; Huij, Joop; Martens, Martin - In: Journal of empirical finance 18 (2011) 3, pp. 506-521
Persistent link: https://www.econbiz.de/10009302077