Author
Bali, T. G., Brown, S., Çağlayan, Mustafa Onur
Publication Date
2011-07
Publication Place
-
Elsevier
Subject
Hedge funds, Return predictability, Risk factors
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
0304-405X
Record ID
eadc4112-59f8-4c4f-bb07-7333315f6ffe
Library Location
Economics
Date
2011-07
Notes
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text
This paper investigates hedge funds’ exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the crosssectional variation in hedge fund returns. Both parametric and nonparametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and after controlling for market, size, book-to-market, and momentum factors as well as the trendfollowing factors in stocks, short-term interest rates, currencies, bonds, and commodities. The paper also provides macro and micro level explanations of our findings.
DOI
10.1016/j.jfineco.2011.02.008
Cilt
101
