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Higher-Moment Risk Exposures in Hedge Funds
Lambert, Marie - 2012
The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...
Persistent link: https://www.econbiz.de/10013107364
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …
Persistent link: https://www.econbiz.de/10013118101
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Traditional and Alternative Risk : An Application to Hedge Fund Returns
Boido, Claudio - 2015
metric for assessing hedge fund performance, comprising both the relative the advantage and risk of the alternative …
Persistent link: https://www.econbiz.de/10013030054
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Hedge Fund Flows and Performance Streaks : How Investors Weigh Information
Baquero, Guillermo - 2015
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...
Persistent link: https://www.econbiz.de/10013029677
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Directional and Non-Directional Risk Exposures in Hedge Fund Returns
Hübner, Georges - 2011
distributional premiums that have not yet been exploited in Hedge Fund asset pricing. We show that US higher-moment equity risk …
Persistent link: https://www.econbiz.de/10013125526
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ETF Rebalancing, Hedge Fund Trades, and Capital Market
Wang, George Jiaguo; Yao, Chelsea Yaqiong; Yelekenova, Adina - 2023
We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we observe that hedge funds gradually increase...
Persistent link: https://www.econbiz.de/10014258333
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Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
mean to be negative. The more idiosyncratic is a fund's risk, the more difficult it is to make a copycat issue and the …
Persistent link: https://www.econbiz.de/10013128561
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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …
Persistent link: https://www.econbiz.de/10011890772
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When the Start Matters : Investor Sentiment and Hedge Fund Inceptions
Sun, Lin - 2020
performance, higher risk of fraud, and shorter survival. Further evidence indicates that more rookie managers open funds in hot …
Persistent link: https://www.econbiz.de/10012851604
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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10003948797