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Further Evidence on Hedge Fund Return Predictability
16 references·1 citing·36 second hopsampled
Further Evidence on Hedge Fund Return Predictability (2006)Further Evidence on Hedge Fund Return Pre…Hedge Funds: Risk and Return (2005)Hedge Funds: Risk and ReturnAnalysis of hedge funds performance (2004)Analysis of hedge funds perfo…Hedge-Fund Benchmarks: Information Content and Biases (2002)Hedge-Fund Benchmarks: Inform…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Multi-Period Performance Pers…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Offshore Hedge Funds: Survival and Performance, 1989–95 (1999)Offshore Hedge Funds: Surviva…Modelling emerging market risk premia using higher moments (1999)Modelling emerging market ris…Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…On the Predictability of Stock Returns: An Asset-Allocation Perspective (1996)On the Predictability of Stoc…On the Predictability of Stock Returns: An Asset-Allocation Perspective (1996)On the Predictability of Stoc…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…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…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Hedge fund return predictability; To combine forecasts or combine information? (2015)Hedge fund return predictabil…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)On Persistence in Mutual Fund Performance (1997)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The theory and practice of econometrics (1986)Predictive regressions (1999)International Asset Allocation With Regime Shifts (2002)Trusting the Stock Market (2005)Contrarian Investment, Extrapolation, and Risk (1994)The Statistics of Sharpe Ratios (2002)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 1996On the Predictability of Stock Returns: An Asset-Allocation Perspective786 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 2000Multi-Period Performance Persistence Analysis of Hedge Funds600 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 1999Offshore Hedge Funds: Survival and Performance, 1989–95510 cited
  • 2005Hedge Funds: Risk and Return428 cited
  • 2004Analysis of hedge funds performance348 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited
  • 2002Hedge-Fund Benchmarks: Information Content and Biases212 cited
  • 1996On the Predictability of Stock Returns: An Asset-Allocation Perspective

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  • 2015Hedge fund return predictability; To combine forecasts or combine information?19 cited