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Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics
3 references·16 citing·38 second hop
Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics (1998)Multifactor Analysis of Hedge Fund, Manag…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Fundamental Economic Variables, Expected Returns, and Bond Fund Performance (1995)Fundamental Economic Variable…Advances in Futures and Options Research (1994)Advances in Futures and Optio…Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance (2012)The Life Cycle of Hedge Funds…Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios (2009)Illiquidity Premia in Asset R…The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions (2007)The Performance of Hedge Fund…Mutual fund performance evaluation using data envelopment analysis with new risk measures (2006)Mutual fund performance evalu…Hedge funds: an industry in its adolescence (2006)Hedge funds: an industry in i…Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations (2006)Dynamic Portfolio Choice with…Hedge fund performance and persistence in bull and bear markets (2005)Hedge fund performance and pe…Factor Modeling and Benchmarking of Hedge Funds (2005)Factor Modeling and Benchmark…Portfolio Theory and Performance Analysis (2003)Portfolio Theory and Performa…Understanding Hedge Fund Performance (2002)Understanding Hedge Fund Perf…Informationless Investing and Hedge Fund Performance Measurement Bias (2002)Informationless Investing and…Battle for Alphas: Hedge Funds versus Long-Only Portfolios (2002)Battle for Alphas: Hedge Fund…Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases (2001)Benchmarks of Hedge Fund Perf…Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies (2000)Performance Evaluation of Hed…Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows (1999)Investment behavior of mutual…The Cross-Section of Expected Stock Returns (1992)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money (2008)When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns (2013)Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors (2014)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Influence of Financial Management Practices on the Performance of Micro and Small Enterprises in Kenya (2014)Survivorship Bias in Performance Studies (1992)Common risk factors in the returns on stocks and bonds (1993)An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Impact of fund size on hedge fund performance (2005)VIX as a Companion for Hedge Fund Portfolios (2005)Does Hedge Fund Performance Persist? Overview and New Empirical Evidence (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds and the Technology Bubble (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Governance Mechanisms and Bond Prices (2007)Performance and Persistence in Institutional Investment Management (2010)RETRACTED: Common risk factors in the cross-section of corporate bond returns (2018)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Fix Is In: Properly Backing out Backfill Bias (2017)Value at risk, GARCH modelling and the forecasting of hedge fund return volatility (2007)How Do Hedge Fund Clones Manage the Real World? (2009)The ABCs of Hedge Funds: Alphas, Betas, & Costs (2010)Trading volume, bid-ask spread, and price volatility in futures markets (2000)Managing Capacity in the High-Tech Industry: A Review of Literature (2005)The forecast quality of CBOE implied volatility indexes (2005)
this work references cited by second hop

References

  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 1995Fundamental Economic Variables, Expected Returns, and Bond Fund Performance403 cited
  • 1994Advances in Futures and Options Research271 cited

Cited by

  • 2002Understanding Hedge Fund Performance109 cited
  • 2005Hedge fund performance and persistence in bull and bear markets109 cited
  • 2006Hedge funds: an industry in its adolescence100 cited
  • 2003Portfolio Theory and Performance Analysis97 cited
  • 2000Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies96 cited
  • 2005Factor Modeling and Benchmarking of Hedge Funds91 cited
  • 2002Battle for Alphas: Hedge Funds versus Long-Only Portfolios88 cited
  • 1999Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows81 cited
  • 2006Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations77 cited
  • 2009Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios76 cited
  • 2007The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions73 cited

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2006
Mutual fund performance evaluation using data envelopment analysis with new risk measures
71 cited
  • 2002Informationless Investing and Hedge Fund Performance Measurement Bias70 cited
  • 2012The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance68 cited
  • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
  • 2001Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases64 cited