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Lambert, M.; Hübner, G. - In: Journal of empirical finance 23 (2013), pp. 191-205

Persistent link: https://www.econbiz.de/10010221739

Steiner, Andreas - 2011

We see a contrast between the importance of the currency risk factor in modern investment management and its treatment in portfolio analytics like performance attribution and risk budgeting. Part of this can be explained by conceptual complexities: currencies are not just another asset class,...

Persistent link: https://www.econbiz.de/10013130295

Hedge Funds, Misvaluation, and The HML Factor Returns

Kokkonen, Joni - 2011

We measure misvaluation using the discounted residual income model of Ohlson (1990, 1995). We show that there are significant returns on a long-short portfolio that buys under- and sells short overvalued shares. These returns are highly correlated with the Fama and French HML factor returns and...

Persistent link: https://www.econbiz.de/10013132382

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10013113663

Do Hedge Funds Outperform Stocks and Bonds?

Bali, Turan G. - 2012

Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...

Persistent link: https://www.econbiz.de/10013106751

Do Hedge Funds Outperform Stocks and Bonds?

Bali, Turan G. - 2012

Persistent link: https://www.econbiz.de/10013106936

Contrarian Hedge Funds and Momentum Mutual Funds

Massa, Massimo - 2012

We study how hedge fund performance is related to the presence of mutual funds operating in the same asset class. We argue that hedge funds are able to exploit the constraints of the mutual funds related to both the high correlation between flows and value of investment and their tendency to...

Persistent link: https://www.econbiz.de/10013109200

Alpha Characteristics of Hedge Funds

Jain, Sameer - 2013

Hedge Fund managers are expected to create excess investment returns (Alpha) through two primary skills based sources: (i) Security selection: buying undervalued securities and selling overvalued securities (ii) Market timing: entering markets in advance of, or when they are rising and exiting,...

Persistent link: https://www.econbiz.de/10013081375

Optimal Carry and Momentum Returns in Futures Markets : A Compensation for Capital Constrained Hedge Funds?

Ahmerkamp, Jan Danilo - 2013

We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...

Persistent link: https://www.econbiz.de/10013085038

Cross-Hedging Minimum Return Guarantees : Basis and Liquidity Risk

Ankirchner, Stefan - 2013

We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment …, e.g.\ an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy … risk. We demonstrate that both risks may be surprisingly high and show how the design of the contract and the hedging …

Persistent link: https://www.econbiz.de/10013089338