Hentati-Kaffel, Rania; de Peretti, Philippe - In: Journal of Banking & Finance 50 (2015) C, pp. 608-615
The major contribution of this paper is to make use of generalized runs tests (Cho and White, 2011) to analyze the randomness, i.e. the lack of persistence, in both absolute and relative returns of hedge funds. We find that about 42% of the HFR universe exhibit iid absolute returns over the...