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Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Duration of Poor Performance, Fund Flows and Risk-Shifting by Hedge Fund Managers

Li, Ying - 2015

A typical hedge fund manager receives greater compensation when the fund has a strong absolute or relative performance. Asymmetric performance fees and fund flow-performance relationship may create incentives for risk-shifting, estimated in our study by the change in fund return volatility in...

Persistent link: https://www.econbiz.de/10013031114

Redefining Hedge Fund Alpha and Risk Exposures after the Financial Crisis

Gupta, Raj - 2009

The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the end of 2007. However, assets managed by hedge funds...

Persistent link: https://www.econbiz.de/10013154851

Explaining hedge fund investment styles by loss aversion

Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10011326964

Investigating hedge fund performance

Huber, Otto - 2011

-adjustierten Performance von Hedgefonds befassen. Eine mögliche Konsequenz des veränderten Umfeldes ist eine Reduktion der risikoadjustierten … Performance (Alpha) von Hedgefonds. Entgegen dieser Hypothese zeigen die Resultate des ersten Aufsatzes ein positives historisches … empirische Bestätigung für Kapazitätsbeschränkungen. Der zweite Aufsatz befasst sich mit der Performancepersistenz von Hedgefonds …

Persistent link: https://www.econbiz.de/10008989038

On the relative performance of multi-strategy and funds of hedge funds

Agarwal, Vikas; Kale, Jayant R. - 2007 - This version: June 14, 2007

Recently, there has been explosive growth in two products from the hedge fund industry - multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well-functioning markets, both investment vehicles should offer...

Persistent link: https://www.econbiz.de/10009526500

Birds of a feather : do hedge fund managers flock together?

Gerritzen, Marc; Jackwerth, Jens Carsten; Plazzi, Alberto - 2016

Mandatory filings for UK hedge funds allow analysis of the effect of managerial employment networks on investment behavior. Employment in the same firm leads to significantly more similar investment behavior in terms of raw returns, abnormal performance (alpha), systematic risk (beta), and...

Persistent link: https://www.econbiz.de/10011515858

The Absolute Returns of Hedge Funds

Kebabci, Deniz - 2010

In this paper, we examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Based on the comparison of the empirical distributions of the holding period returns of hedge funds, a U.S. stock index and a U.S. bond index, we classify hedge funds...

Persistent link: https://www.econbiz.de/10013137688

Volatility and the Cross-Sectional Performance of Emerging Market Hedge Funds

Jayasuriya, Shamila A. - 2012

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...

Persistent link: https://www.econbiz.de/10013116599

Limits of Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data

von Beschwitz, Bastian - 2017

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting...

Persistent link: https://www.econbiz.de/10012956100