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Ertragsquellen von Hedgefonds unter besonderer Berücksichtigung der Kosten

Chen, Peng; Ibbotson, Roger G. - 2006

Persistent link: https://www.econbiz.de/10003377086

Essays in empirical finance

Novikov, Dmitry - 2004

Persistent link: https://www.econbiz.de/10003551576

Empirical research on hedge funds : intentional return smoothing, autocorrelation and heterogeneity

Bürgi, Anina Cristina - 2008

Persistent link: https://www.econbiz.de/10003845967

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky Sherman, Mila - 2010

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

Persistent link: https://www.econbiz.de/10012762841

Returns to Active Management : The Case of Hedge Funds

Kazemi, Maziar - 2018

Do more active hedge fund managing strategies generate higher returns than the less active ones? We develop a novel approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead equity long-short funds. We find that higher...

Persistent link: https://www.econbiz.de/10012926426

Application of a Vector Error Correction, (VEC) Model to Test the Granger Causality Between the Monthly Returns and Expenses in Terms of Fees of Long/Short Equity and Arbitrage Hed...

Guirguis, Michel - 2019

In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...

Persistent link: https://www.econbiz.de/10012890407

Examination of the Fees and Performance Structure of Equity Market Neutral Hedge Funds

Guirguis, Michel - 2019

This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...

Persistent link: https://www.econbiz.de/10012890746

Hedge Funds and Limits-to-Arbitrage : Does Financial Intermediaries’ Risk Predict Hedge Fund Returns?

Becam, Adrien - 2019

This paper investigates the systematic role of limits to arbitrage in the risk and return profile of hedge funds. We follow He et al. (2017) and define these frictions in financial markets as the shocks to the equity capital ratio of primary dealer counterparties of the New York Federal Reserve....

Persistent link: https://www.econbiz.de/10012896717

Hedge Funds and Stock Market Efficiency

Kokkonen, Joni - 2017

We measure misvaluation using the discounted residual income model. Confirming the findings in the literature, we show that there are significant returns on a misvaluation based long-short portfolio that buys under- and sells short overvalued shares. We define misvaluation spread as the...

Persistent link: https://www.econbiz.de/10012975045

Returns to Active Management : The Case of Hedge Funds

Kazemi, Maziar - 2015

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this … active managers outperform the moderately active funds and generate higher returns. We conclude that the most active managers … returns. Finally, we find that compared to the least active managers, the most active managers are less homogeneous and …

Persistent link: https://www.econbiz.de/10013032813