Journal ArticleManagement Science · February 1, 2021
We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by th ...
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Journal ArticleJournal of Financial Economics · September 1, 2013
This paper investigates mega hedge fund management companies that collectively manage over 50% of the industry's assets, incorporating previously unavailable data from those that do not report to commercial databases. We find similarities among mega firms ...
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Journal ArticleFinancial Markets and Portfolio Management · March 1, 2012
Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777-1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65-80, 2004a; J. Empir. Finance 18:547-569, 2004b) mode ...
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Journal ArticleJournal of Empirical Finance · September 1, 2011
Theory suggests that long/short equity hedge funds' returns come from directional as well as spread bets on the stock market. Empirical analysis finds persistent net exposures to the spread between small vs large cap stocks in addition to the overall marke ...
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Conference · January 2009
AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market f ...
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Journal ArticleJournal of Finance · August 1, 2008
We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a ...
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Journal Article · January 1, 2005
This paper shows empirically that Equity Long/Short (Equity L/S) hedge funds have significant alpha to both conventional as well as alternative (hedge fund-like) risk factors utilizing hedge fund data from three major data bases. Following the terminology ...
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Journal ArticleFinancial Analysts Journal · January 1, 2004
Following a review of the data and methodological difficulties in applying conventional models used for traditional asset class indexes to hedge funds, this article argues against the conventional approach. Instead, in an extension of previous work on asse ...
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Journal ArticleFinancial Analysts Journal · January 1, 2002
We discuss the information content and potential measurement biases in hedge-fund benchmarks. Hedge-fund indexes built from databases of individual hedge funds inherit the measurement biases in the databases. In addition, broad-based indexes mask the diver ...
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Journal ArticleFinancial Analysts Journal · January 1, 2002
Asset-based style factors link returns of hedge fund strategies to observed market prices. They provide explicit and unambiguous descriptions of hedge fund strategies that reveal the nature and quantity of risk. Asset-based style factors are key inputs for ...
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Journal ArticleReview of Financial Studies · January 1, 2001
Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund return ...
Full textCite
Journal ArticleManagement Science · February 1, 2021
We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by th ...
Full textCite
Journal ArticleJournal of Financial Economics · September 1, 2013
This paper investigates mega hedge fund management companies that collectively manage over 50% of the industry's assets, incorporating previously unavailable data from those that do not report to commercial databases. We find similarities among mega firms ...
Full textCite
Journal ArticleFinancial Markets and Portfolio Management · March 1, 2012
Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777-1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65-80, 2004a; J. Empir. Finance 18:547-569, 2004b) mode ...
Full textCite
Journal ArticleJournal of Empirical Finance · September 1, 2011
Theory suggests that long/short equity hedge funds' returns come from directional as well as spread bets on the stock market. Empirical analysis finds persistent net exposures to the spread between small vs large cap stocks in addition to the overall marke ...
Full textCite
Conference · January 2009
AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market f ...
Cite
Journal ArticleJournal of Finance · August 1, 2008
We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a ...
Full textCite
Journal Article · January 1, 2005
This paper shows empirically that Equity Long/Short (Equity L/S) hedge funds have significant alpha to both conventional as well as alternative (hedge fund-like) risk factors utilizing hedge fund data from three major data bases. Following the terminology ...
Full textCite
Journal ArticleFinancial Analysts Journal · January 1, 2004
Following a review of the data and methodological difficulties in applying conventional models used for traditional asset class indexes to hedge funds, this article argues against the conventional approach. Instead, in an extension of previous work on asse ...
Full textCite
Journal ArticleFinancial Analysts Journal · January 1, 2002
We discuss the information content and potential measurement biases in hedge-fund benchmarks. Hedge-fund indexes built from databases of individual hedge funds inherit the measurement biases in the databases. In addition, broad-based indexes mask the diver ...
Full textCite
Journal ArticleFinancial Analysts Journal · January 1, 2002
Asset-based style factors link returns of hedge fund strategies to observed market prices. They provide explicit and unambiguous descriptions of hedge fund strategies that reveal the nature and quantity of risk. Asset-based style factors are key inputs for ...
Full textCite
Journal ArticleReview of Financial Studies · January 1, 2001
Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund return ...
Full textCite
Journal ArticleJournal of Empirical Finance · January 1, 2000
Hedge funds often employ opportunistic trading strategies on a leveraged basis. It is natural to find their footprints in most major market events. A "small bet" by large hedge funds can be a sizeable transaction that can impact a market. This study estima ...
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Journal ArticleJournal of Financial and Quantitative Analysis · January 1, 2000
It is well known that the pro forma performance of a sample of investment funds contains biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) using mutual funds as subjects. The organization structure of hedge funds, as privat ...
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Journal ArticleJournal of Empirical Finance · January 1, 1999
In this paper, we provide a rationale for how hedge funds are organized and some insight on how hedge fund performance differs from traditional mutual funds. Statistical differences among hedge fund styles are used to supplement qualitative differences in ...
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Journal ArticleEconomics Letters · January 1, 1999
This paper shows that the mean-variance analysis of hedge funds approximately preserves the ranking of preferences in standard utility functions. This extends the results of [Levy, H., Markowitz, H.M., 1979. Approximating expected utility by a function of ...
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Journal ArticleJournal of Econometrics · January 1, 1997
Efficient method of moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepanci ...
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Journal ArticleReview of Financial Studies · January 1, 1997
This article presents some new results on an unexplored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dyn ...
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Journal ArticleJournal of International Economics · January 1, 1993
This paper uses currency futures prices to test the joint null hypotheses of rational expectations and absence of a time-varying risk premium in the foreign exchange market. We find no linear predictability in the logarithm of futures price changes, either ...
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Journal ArticleThe Journal of Finance · January 1, 1993
This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires ...
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Journal ArticleJournal of Financial and Quantitative Analysis · January 1, 1993
This paper demonstrates that when log price changes are not IID, their conditional density may be more accurate than their unconditional density for describing short-term behavior. Using the BDS test of independence and identical distribution, daily log pr ...
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Book · April 1992
Chaos theory has touched on such fields as biology, cognitive science, and physics. By providing a unified and complete explanation of new statistical methods that are useful for testing for chaos in data sets, Brock, Hsieh, and LeBaron show how the princi ...
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Journal ArticleJournal of International Money and Finance · January 1, 1992
This paper constructs an example of a nonlinear stochastic rational expectations exchange rate with an explicit solution, which is consistent with nonlinearities in short term movements in exchange rates. The model consists of risk neutral agents, who know ...
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Journal ArticleThe Journal of Finance · January 1, 1991
After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially deterministic chaotic dynamics, has increased in both the financial press and the academic literature. This has come about because the frequency of large moves in ...
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Journal ArticleThe Journal of Finance · January 1, 1990
Using daily and monthly stock returns we find no convincing evidence that Federal Reserve margin requirements have served to dampen stock market volatility. The contrary conclusion, expressed in recent papers by Hardouvelis (1988a, b), is traced to flaws i ...
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Journal ArticleJournal of International Economics · January 1, 1988
This paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983. The main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution: that the data are ...
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Journal ArticleInternational Journal of Forecasting · January 1, 1987
This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts. The main new features of the speculative strategy are (a) the use of Kalman filters to updata the forecasting equ ...
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Journal ArticleJournal of the American Statistical Association · January 1, 1985
When augmented by suitable auxiliary information, retrospective data can identify response probabilities. The auxiliary information may take the form of data on marginal distributions or appropriate structural assumptions. When a combination of retrospecti ...
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Journal ArticleJournal of Financial Economics · January 1, 1985
We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-factor pricing model. The risk-adjusted difference in returns between the top five percent and the bottom five percent of the NYSE firms is about one to two percent ...
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Journal ArticleJournal of International Money and Finance · January 1, 1984
This paper examines the argument that the fixed exchange-rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping g ...
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Journal ArticleJournal of International Economics · January 1, 1984
This paper tests the simple efficiency hypothesis, i.e. that traders have rational expectations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a ...
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Journal ArticleJournal of Econometrics · January 1, 1983
This paper provides a covariance matrix estimator for the ordinary least squares coefficients of a linear time series model which is consistent even when the disturbances are heteroscedastic. This estimator does not require a formal model of the heterosced ...
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Journal ArticleThe Journal of Finance · January 1, 1982
This paper tests whether forward prices equal the traders' expectations of the future spot prices at maturity, under two different models of expectations formation: full information rational expectations and incomplete information mechanical forecasting ru ...
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Journal ArticleJournal of International Economics · January 1, 1982
This paper explains deviations of exchange rates from purchasing power parity with the differences between countries of the relative growth rates of labor productivity between traded and nontraded sectors. Two cases are considered: Germany and Japan versus ...
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