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Modelo multifactor para analizar la exposición de los hedge funds a factores de riesgo macroeconómico

Author

Listed:
  • Elitania Leyva Rayón

    (Departamento de Economía de la Escuela de Negocios y Economía, Universidad de las Américas Puebla.)

Abstract

Los hedge funds son fondos de inversión alternativa para grandes patrimonios e inversores institucionales. Dado que coexisten con los fondos tradicionales y otras entidades financieras en muchos de los mismos mercados y con los mismos activos, los hedge funds deberían responder a las mismas fuerzas macroeconómicas que influyen sobre aquéllos. Por ello, el propósito de este trabajo es estimar un modelo multifactor macroeconómico que pondere la importancia y la dirección que tiene la influencia de los factores de riesgo macroeconómico sobre estos fondos. Con ese fin, se utiliza una base de datos construida manualmente con información de la revista marHedge Performance & Evaluation Directory (1999-2006). Los resultados apoyan la hipótesis de que las sorpresas macroeconómicas que tienen poder explicativo sobre la rentabilidad de los activos estándar también lo tienen en el caso de los hedge funds.

Suggested Citation

  • Elitania Leyva Rayón, 2015. "Modelo multifactor para analizar la exposición de los hedge funds a factores de riesgo macroeconómico," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 42(1), pages 9-44, Enero-Jun.
    • Handle: RePEc:ety:journl:v:42:y:2015:i:1:p:9-44
    DOI: 10.24275/ETYPUAM/NE/422015/Leyva
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    More about this item

    Keywords

    modelo multifactor; índices de hedge funds; sorpresas macroeconómicas.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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