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Citations for "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns"

by Getmansky, Mila & Lo, Andrew & Makarov, Igor

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  1. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene, 2008. "Hedge Fund Contagion and Liquidity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2008-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  2. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  3. Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 206-226, July.
  4. Naes, Randi & Ødegaard, Bernt Arne, 2009. "Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period," UiS Working Papers in Economics and Finance 2009/19, University of Stavanger.
  5. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc.
    • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
  6. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2006. "Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation," NBER Working Papers 12015, National Bureau of Economic Research, Inc.
  7. Hombert, Johan & Thesmar, David, 2014. "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(1), pages 26-44.
  8. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8307, C.E.P.R. Discussion Papers.
  9. Daniel Edelman & William Fung & David Hsieh & Narayan Naik, 2012. "Funds of hedge funds: performance, risk and capital formation 2005 to 2010," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(1), pages 87-108, March.
  10. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Do hedge funds manage their reported returns?," CFR Working Papers 07-09, University of Cologne, Centre for Financial Research (CFR).
  11. James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012. "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz 2012-34, Department of Economics, University of Konstanz.
  12. Jiaqi Chen & Michael L. Tindall, 2012. "Hedge fund dynamic market sensitivity," Occasional Papers, Federal Reserve Bank of Dallas 12-1, Federal Reserve Bank of Dallas.
  13. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 671-685, September.
  14. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, American Finance Association, vol. 68(2), pages 597-635, 04.
  15. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(11), pages 3291-3310, November.
  16. Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2011. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (I)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 1(1), pages 19-36, December.
  17. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3515-3528.
  18. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  19. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 36-68, July.
  20. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24486, London School of Economics and Political Science, LSE Library.
  21. Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013. "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 42(3), pages 327-350, October.
  22. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24819, London School of Economics and Political Science, LSE Library.
  23. Robert E. Hall & Susan E. Woodward, 2007. "The Incentives to Start New Companies: Evidence from Venture Capital," NBER Working Papers 13056, National Bureau of Economic Research, Inc.
  24. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, Elsevier, vol. 83(1), pages 33-58, January.
  25. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, American Finance Association, vol. 63(6), pages 2785-2815, December.
  26. Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011. "Do Hedge Funds Manipulate Stock Prices?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 628, Institut d'Économie Industrielle (IDEI), Toulouse.
  27. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
  28. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  29. Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400, HAL.
  30. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(1), pages 199-217, January.
  31. Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1423-1433, August.
  32. repec:dgr:uvatin:2011084 is not listed on IDEAS
  33. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 102-126, October.
  34. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(8), pages 1993-2009, August.
  35. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
  36. Ramadorai, Tarun, 2008. "The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6877, C.E.P.R. Discussion Papers.
  37. Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi, 2014. "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, Elsevier, vol. 31(C), pages 57-73.
  38. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers, Centre de Recherche en Economie et Statistique 2013-23, Centre de Recherche en Economie et Statistique.
  39. Kaserer, Christoph & Wagner, Niklas & Achleitner, Ann-Kristin, 2003. "Managing investment risks of institutional private equity investors: The challenge of illiquidity," CEFS Working Paper Series 2003-01, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  40. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, Elsevier, vol. 236(1), pages 282-291.
  41. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 47(1), pages 65-82, July.
  42. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(1), pages 109-141, March.
  43. Stephen Satchell & Susan Thorp & Oliver Williams, 2012. "Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 300, Quantitative Finance Research Centre, University of Technology, Sydney.
  44. Bollen, Nicolas P. B., 2013. "Zero-R 2Hedge Funds and Market Neutrality," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 48(02), pages 519-547, April.
  45. Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 671-692.
  46. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(11), pages 2694-2708, November.
  47. Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers, Banque de France 373, Banque de France.
  48. Fung, William & Hsieh, David A., 2011. "The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(4), pages 547-569, September.
  49. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  50. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, Elsevier, vol. 39(C), pages 29-42.
  51. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(1), pages 215-231.
  52. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(1), pages 166-178.
  53. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(2), pages 238-256, May.
  54. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, Annual Reviews, vol. 4(1), pages 255-296, October.
  55. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  56. Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers, Department of Economics, Central European University 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
  57. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 300-323.
  58. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(1), pages 72-89, October.
  59. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  60. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(1), pages 114-131.
  61. repec:fip:feddop:2 is not listed on IDEAS
  62. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc.
  63. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(5), pages 883-891, May.
  64. repec:dgr:uvatin:2011150 is not listed on IDEAS
  65. Ron Bird & Harry Liem & Susan Thorp, 2011. "Private Equity: Strategies for Improving Performance," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney 12, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  66. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
  67. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 782-795.
  68. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers, Centre de Recherche en Economie et Statistique 2013-22, Centre de Recherche en Economie et Statistique.
  69. Jiaqi Chen & Michael L. Tindall, 2012. "Risk measurement illiquidity distortions," Occasional Papers, Federal Reserve Bank of Dallas 12-2, Federal Reserve Bank of Dallas.
  70. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 493-516.
  71. Jakub W. Jurek & Erik Stafford, 2013. "The Cost of Capital for Alternative Investments," NBER Working Papers 19643, National Bureau of Economic Research, Inc.
  72. Sadka, Ronnie, 2010. "Liquidity risk and the cross-section of hedge-fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(1), pages 54-71, October.
  73. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The necessity to correct hedge fund returns: empirical evidence and correction method," Working Papers halshs-00184470, HAL.
  74. Laszlo F. Korsos, 2013. "The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments," Papers 1306.0938, arXiv.org.
  75. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(3), pages 204-223, June.
  76. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
  77. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, Springer, vol. 14(2), pages 117-135, July.
  78. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris West - Nanterre la Défense, EconomiX.
  79. Michael Stein, 2013. "German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0454, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  80. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, Elsevier, vol. 103(2), pages 221-234.
  81. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, 06.
  82. Miguel Anton, & Christopher Polk, 2010. "Connected Stocks," FMG Discussion Papers, Financial Markets Group dp651, Financial Markets Group.
  83. Miguel Anton & Christopher Polk, 2010. "Connected stocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43098, London School of Economics and Political Science, LSE Library.
  84. Kaserer, Christoph & Diller, Christian, 2004. "What drives cash flow based European private equity returns? Fund inflows, skilled GPs and/or risk?," CEFS Working Paper Series 2004-02, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  85. Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013. "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 16-29.
  86. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(2), pages 311-327.
  87. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers 11-084/2/DSF 23, Tinbergen Institute.
  88. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7780, C.E.P.R. Discussion Papers.
  89. Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 77(1), pages 219-253, July.