SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An advanced perspective on the predictability in hedge fund returns
16 references·1 citing·45 second hop
An advanced perspective on the predictability in hedge fund returns (2010)An advanced perspective on the predictabi…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Applied Time Series Econometrics (2004)Applied Time Series Econometr…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)Equity Premia as Low as Three…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Commonality in hedge fund returns: Driving factors and implications (2014)Commonality in hedge fund ret…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Disclosure level and the cost of equity capital. (1997)The Equity Premium (2002)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency (2014)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Disclosure, Liquidity, and the Cost of Capital (1991)The Cross-Section of Expected Stock Returns (1992)Capital markets research in accounting (2001)Differences of Opinion and the Cross Section of Stock Returns (2002)Environmental Externalities and Cost of Capital (2014)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2001Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets1,516 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2004Applied Time Series Econometrics1,200 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1998
Tests for Forecast Encompassing
786 cited

Cited by

  • 2014Commonality in hedge fund returns: Driving factors and implications24 cited