Akay, Ozgur; Senyuz, Zeynep; Yoldas, Emre - In: Journal of Empirical Finance 22 (2013) C, pp. 16-29
We provide an empirical analysis of two important phenomena influencing the hedge fund industry—contagion and time variation in risk adjusted return (alpha)—in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in...