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Citations for "An econometric model of serial correlation and illiquidity in hedge fund returns"

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

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  1. 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).
  2. 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 qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  3. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
  4. Laszlo F. Korsos, 2013. "The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments," Papers 1306.0938, arXiv.org.
  5. Tarun Ramadorai, 2012. "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, 04.
  6. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
  7. Jakub W. Jurek & Erik Stafford, 2013. "The Cost of Capital for Alternative Investments," NBER Working Papers 19643, National Bureau of Economic Research, Inc.
  8. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  9. Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers 13-27, Duke University, Department of Economics.
  10. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
  11. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
  12. Itzhak Ben-David & Francesco Franzoni & Augustin Landier & Rabih Moussawi, 2013. "Do Hedge Funds Manipulate Stock Prices?," Journal of Finance, American Finance Association, vol. 68(6), pages 2383-2434, December.
  13. Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers 373, Banque de France.
  14. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 109-141, March.
  15. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  16. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
  17. Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
  18. Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1423-1433, August.
  19. 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.
  20. Ren� M. Stulz, 2007. "Hedge Funds: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 175-194, Spring.
  21. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  22. Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
  23. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
  24. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
  25. 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.
  26. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, 04.
  27. 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, vol. 26(1), pages 87-108, March.
  28. Jackwerth, Jens Carsten & Kolokolova, Olga & Hodder, James E., 2008. "Recovering Delisting Returns of Hedge Funds," MPRA Paper 11641, University Library of Munich, Germany, revised 31 Oct 2008.
  29. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  30. Sadka, Ronnie, 2010. "Liquidity risk and the cross-section of hedge-fund returns," Journal of Financial Economics, Elsevier, vol. 98(1), pages 54-71, October.
  31. Stephen Satchell & Susan Thorp & Oliver Williams, 2012. "Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods," Research Paper Series 300, Quantitative Finance Research Centre, University of Technology, Sydney.
  32. Jiaqi Chen & Michael L. Tindall, 2012. "Risk measurement illiquidity distortions," Occasional Papers 12-2, Federal Reserve Bank of Dallas.
  33. Jiaqi Chen & Michael L. Tindall, 2012. "Hedge fund dynamic market sensitivity," Occasional Papers 12-1, Federal Reserve Bank of Dallas.
  34. Hombert, Johan & Thesmar, David, 2014. "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 111(1), pages 26-44.
  35. Jiaqi Chen & Michael L. Tindall, 2012. "Risk measurement illiquidity distortions," Occasional Papers 12-2, Federal Reserve Bank of Dallas.
  36. Zhang, Xin & Podobnik, Boris & Kenett, Dror Y. & Eugene Stanley, H., 2014. "Systemic risk and causality dynamics of the world international shipping market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 43-53.
  37. 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.
  38. Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
  39. 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, vol. 31(C), pages 57-73.
  40. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
  41. Randi Næs & Bernt Arne Ødegaard, 2008. "Liquidity and asset pricing: Evidence on the role of investor holding period," Working Paper 2007/11, Norges Bank.
  42. 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, vol. 101(1), pages 206-226, July.
  43. 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.
  44. 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 2013-22, Centre de Recherche en Economie et Statistique.
  45. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
  46. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2014. "Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 215-229.
  47. Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011. "Hedge Fund Leverage," NBER Working Papers 16801, National Bureau of Economic Research, Inc.
  48. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," LSE Research Online Documents on Economics 24486, London School of Economics and Political Science, LSE Library.
  49. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
  50. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The Necessity to Correct Hedge Fund Returns: Empirical Evidence and Correction Method," Working Papers CEB 07-034.RS, ULB -- Universite Libre de Bruxelles.
  51. 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.
  52. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics 24819, London School of Economics and Political Science, LSE Library.
  53. 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, vol. 106(1), pages 114-131.
  54. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  55. 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).
  56. Patton, Andrew J & Ramadorai, Tarun & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
  57. 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.
  58. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers) 831, Bank of Italy, Economic Research and International Relations Area.
  59. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
  60. Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 671-692.
  61. Park, Hyuna, 2015. "Emerging market hedge funds in the United States," Emerging Markets Review, Elsevier, vol. 22(C), pages 25-42.
  62. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  63. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, vol. 14(2), pages 117-135, July.
  64. 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, vol. 22(C), pages 16-29.
  65. Miguel Anton, & Christopher Polk, 2010. "Connected Stocks," FMG Discussion Papers dp651, Financial Markets Group.
  66. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
  67. Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013. "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Society for Computational Economics, vol. 42(3), pages 327-350, October.
  68. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
  69. 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, vol. 101(1), pages 36-68, July.
  70. Michael Stein, 2013. "German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability," Ruhr Economic Papers 0454, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  71. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  72. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, 06.
  73. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Other publications TiSEM e5953fbe-064e-4647-9353-0, Tilburg University, School of Economics and Management.
  74. 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, vol. 18(4), pages 547-569, September.
  75. 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).
  76. 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.
  77. 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.
  78. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.
  79. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
  80. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
  81. Lillo, Fabrizio & Pirino, Davide, 2015. "The impact of systemic and illiquidity risk on financing with risky collateral," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 180-202.
  82. 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).
  83. 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, vol. 47(1), pages 65-82, July.
  84. 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).
  85. Ron Bird & Harry Liem & Susan Thorp, 2011. "Private Equity: Strategies for Improving Performance," Working Paper Series 12, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  86. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
  87. Miguel Anton & Christopher Polk, 2010. "Connected stocks," LSE Research Online Documents on Economics 43098, London School of Economics and Political Science, LSE Library.
  88. Bollen, Nicolas P. B., 2013. "Zero-R 2Hedge Funds and Market Neutrality," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(02), pages 519-547, April.
  89. Jiao, Yawen & Massa, Massimo & Zhang, Hong, 2015. "Short Selling Meets Hedge Fund 13F: An Anatomy of Informed Demand," CEPR Discussion Papers 10471, C.E.P.R. Discussion Papers.
  90. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  91. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
  92. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
  93. 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.
  94. 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.
  95. 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.
  96. 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.
  97. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  98. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
  99. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc.
  100. 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.
  101. Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
  102. 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 2013-23, Centre de Recherche en Economie et Statistique.
  103. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3291-3310, November.
  104. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  105. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche
    [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]
    ," MPRA Paper 59381, University Library of Munich, Germany.
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