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Institutional investments in pure play stocks and implications for hedging decisions

Minton, Bernadette A.; Schrand, Catherine - 2016

incentives to reduce volatility via hedging. We further characterize institutions' investments for pure play stocks across …

Persistent link: https://www.econbiz.de/10011810908

Investor concentration, flows, and cash holdings : evidence from hedge funds

Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W. - 2017

We show that when only a few investors own a substantial portion of a hedge fund's net asset value, flow volatility increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we confirm that high investor concentration...

Persistent link: https://www.econbiz.de/10011803704

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

Persistent link: https://www.econbiz.de/10012416051

Fund-level FX hedging redux

Bräuer, Leonie; Hau, Harald - 2024

-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical … hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and … European investment funds, even though optimal hedging strategies could without incurring substantial trading costs. …

Persistent link: https://www.econbiz.de/10015168533

The effectiveness of hedge fund investment strategies under various market conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

Persistent link: https://www.econbiz.de/10012237267

Hedge fund investment in ETFs

Cumming, Douglas J.; Monteiro, Pedro - 2023 - This Draft: January 31, 2023

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Persistent link: https://www.econbiz.de/10013555545

Private Equity : Viable Alternative Investment or Empty Promise?

Institute, Brandes - 2015

In a lively roundtable debate, members of the Brandes Institute Advisory Board (BIAB) and guest speaker Brad Case discussed the pros and cons of private equity and whether the investment class is a viable alternative.While some Board members shared their successes, Case cited challenges in the...

Persistent link: https://www.econbiz.de/10013009964

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Generating Alpha Through Hedge Fund Investing : Effective Investment Template for Hedge Fund Investment

Pani, Bijon - 2012

This report is a brief of the actual research and discusses two ways of asset allocation in Hedge Funds to generate alpha over the fund of hedge funds. The fund of hedge funds have fallen out of favour for investors seeking alternative investments as they have lagged the general market returns....

Persistent link: https://www.econbiz.de/10013104716