Is it alpha or beta? : decomposing hedge fund returns when models are misspecified
David Ardia, Laurent Barras, Patrick Gagliardini, Olivier Scaillet
| Year of publication: |
2024
|
|---|---|
| Authors: | Ardia, David ; Barras, Laurent ; Gagliardini, Patrick ; Scaillet, Olivier |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 154.2024, Art.-No. 103805, p. 1-21
|
| Subject: | Hedge fund returns | Alpha | Beta | Model misspecification | Large cross-section | Hedgefonds | Hedge fund | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Theorie | Theory | CAPM | Schätzung | Estimation | Modellierung | Scientific modelling | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2024.103805 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015072088