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An advanced perspective on the predictability in hedge fund returns · Study

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ArticleAn advanced perspective on the predictability in hedge fund returns

Christian Alexander Wegener2010

Article2010

An advanced perspective on the predictability in hedge fund returns

Christian Alexander Wegener · Rüdiger von Nitzsch · Cetin-Behzet Cengiz

28 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1994Comparing Predictive Accuracy 1989Business conditions and expected returns on stocks and bonds 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2001Consumption, Aggregate Wealth, and Expected Stock Returns 2001Toward an Implied Cost of Capital 1991Long-Term Memory in Stock Market Prices 1986Predicting returns in the stock and bond markets 2001Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets

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2014Commonality in hedge fund returns: Driving factors and implications

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2012The “Fed Model” and the Predictability of Stock Returnsarticle · 11 shared references 2013Don’t Fight the Fed!article · 11 shared references 2015Cross-sectional return dispersion and the equity premiumarticle · 10 shared references 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literaturearticle · 10 shared references 2008A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategiesarticle · 10 shared references 2005In-sample vs. out-of-sample tests of stock return predictability in the context of data miningarticle · 9 shared references

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Year2010

Typearticle

Published2010-05-20

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2010.05.005

openalex_workW2052052322

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