Hedge Fund Return Predictability Under the Magnifying Glass
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Cited by:
- Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022.
"Skill, Scale, and Value Creation in the Mutual Fund Industry,"
Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
- Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
- Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
- Massimo Guidolin & Alexei G. Orlov, 2022.
"Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
- Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
- Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
- Laurent Barras & Patrick Gagliardini & O. Scaillet, 2018.
"The Cross-Sectional Distribution of Fund Skill Measures,"
Swiss Finance Institute Research Paper Series
18-66, Swiss Finance Institute.
- Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2018. "The Cross-Sectional Distribution of Fund Skill Measures," Working Papers unige:110006, University of Geneva, Geneva School of Economics and Management.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022.
"Hedge Fund Performance: A Quantitative Survey,"
Working Papers IES
2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
- Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
- Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
- Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
- Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
- Daniel Thomson & Gary van Vuuren, 2018. "Attribution of hedge fund returns using a Kalman filter," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 1043-1058, February.
- Wenbo Wu & Jiaqi Chen & Zhibin (Ben) Yang & Michael L. Tindall, 2021. "A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection," Management Science, INFORMS, vol. 67(7), pages 4577-4601, July.
- Guillermo Baquero & Marno Verbeek, 2022. "Hedge Fund Flows and Performance Streaks: How Investors Weigh Information," Management Science, INFORMS, vol. 68(6), pages 4151-4172, June.
- Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
- Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
- Joni Kokkonen & Matti Suominen, 2015. "Hedge Funds and Stock Market Efficiency," Management Science, INFORMS, vol. 61(12), pages 2890-2904, December.
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