scholarly journals Systemic Risk and Cross-Sectional Hedge Fund Returns

2013 ◽  
Author(s):  
Stephen J. Brown ◽  
Inchang Hwang ◽  
Francis Haeuck In ◽  
Tong Suk Kim
Keyword(s):  
Systemic Risk ◽  
Hedge Fund ◽  
Cross Sectional ◽  
Hedge Fund Returns

scholarly journals Systemic risk and cross-sectional hedge fund returns

2017 ◽  
Vol 42 ◽  
pp. 109-130 ◽  
Author(s):  
Inchang Hwang ◽  
Simon Xu ◽  
Francis In ◽  
Tong Suk Kim
Keyword(s):  
Systemic Risk ◽  
Hedge Fund ◽  
Cross Sectional ◽  
Hedge Fund Returns

scholarly journals Are higher-order factors useful in pricing the cross-section of hedge fund returns?

2019 ◽  
Vol 17 (2) ◽  
pp. 1
Author(s):  
Caio Almeida ◽  
Elaine Fang
Keyword(s):  
Risk Factors ◽  
Linear Model ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Second Order ◽  
Lasso Regression ◽  
Step Method ◽  
Cross Sectional ◽  
Interaction Terms ◽  
Hedge Fund Returns

This paper investigates hedge funds’ exposures to various risk factors across different investment strategies through models with both linear and second-order factors. Despite many efforts to search for the set of risk factors that best explains cross-sectional hedge fund returns, no consensus has been reached. In this study, we extend the analysis from an augmented linear model based on Fama and French (1993) and Fung and Hsieh (2001) to second-order models that include all quadratic and interaction terms by adopting a novel multistep strategy that combines the variable selection capabilities of the lasso regression with the Fama-MacBeth (1973) two-step method. We find that several quadratic and interaction terms are statistically significant for some strategies; however, there is no evidence that the second-order models have more overall explanatory or predictive power than the linear model. Moreover, while both the linear and second-order models perform well for directional funds, missing factors may still remain for semidirectional funds.

Commonality in Hedge Fund Returns: A Determinant of Systemic Risk?

2011 ◽  
Author(s):  
Matthieu Bussière ◽  
Marie Hoerova ◽  
Benjamin Klaus
Keyword(s):  
Systemic Risk ◽  
Hedge Fund ◽  
Hedge Fund Returns

Hidden Survivorship in Hedge Fund Returns

2010 ◽  
Vol 66 (2) ◽  
Author(s):  
Rajesh K. Aggarwal ◽  
Philippe Jorion
Keyword(s):  
Hedge Fund ◽  
Hedge Fund Returns

Persistence Analysis of Hedge Fund Returns

2010 ◽  
Author(s):  
Serge Patrick Amvella ◽  
Iwan Meier ◽  
Nicolas A. Papageorgiou
Keyword(s):  
Hedge Fund ◽  
Hedge Fund Returns
Sign in / Sign up

Export Citation Format

Share Document