This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Purpose – The purpose of this paper is to explore how hedge fund database biases developed during the 2007-2009 financial crisis. Design/methodology/approach – The sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period....

Purpose – The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach – The performance of a market timer can be measured through the 1966 Treynor and Mazuy model,...