Do hedge funds’ exposures to risk factors predict their future returns?

Name: Do hedge funds’ exposures to risk factors predict their future returns?
Author: Bali, T. G., Brown, S., Çağlayan, Mustafa Onur

İsim	Do hedge funds’ exposures to risk factors predict their future returns?
Yazar	Bali, T. G., Brown, S., Çağlayan, Mustafa Onur
Basım Tarihi:	2011-07
Basım Yeri	- Elsevier
Konu	Hedge funds, Return predictability, Risk factors
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0304-405X
Kayıt Numarası	eadc4112-59f8-4c4f-bb07-7333315f6ffe
Lokasyon	Economics
Tarih	2011-07
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	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

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Do hedge funds’ exposures to risk factors predict their future returns?

Yazar Bali, T. G., Brown, S., Çağlayan, Mustafa Onur

Basım Tarihi 2011-07

Basım Yeri - Elsevier

Konu Hedge funds, Return predictability, Risk factors

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0304-405X

Kayıt Numarası eadc4112-59f8-4c4f-bb07-7333315f6ffe

Lokasyon Economics

Tarih 2011-07

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin 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