SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
16 references·2 citing·41 second hop
Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach (2013)Hedge fund contagion and risk-adjusted re…Liquidity risk and the cross-section of hedge-fund returns☆ (2010)Liquidity risk and the cross-…Hedge Fund Contagion and Liquidity Shocks (2010)Hedge Fund Contagion and Liqu…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Hedge Funds: Performance, Risk, and Capital Formation (2008)Hedge Funds: Performance, Ris…Endogenous steroids and financial risk taking on a London trading floor (2008)Endogenous steroids and finan…What Determines Chinese Stock Returns? (2004)What Determines Chinese Stock…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching (1998)An Econometric Characterizati…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Multi-moment risk, hedging strategies, & the business cycle (2018)Multi-moment risk, hedging st…Commonality in hedge fund returns: Driving factors and implications (2014)Commonality in hedge fund ret…The Cross-Section of Expected Stock Returns (1992)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Pricing of Options and Corporate Liabilities (1973)The Strategic and Tactical Value of Commodity Futures (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Just How Much Do Individual Investors Lose by Trading? (2008)A Survey of Systemic Risk Analytics (2012)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2008Endogenous steroids and financial risk taking on a London trading floor682 cited
  • 2008Hedge Funds: Performance, Risk, and Capital Formation660 cited
  • 2010Hedge Fund Contagion and Liquidity Shocks471 cited
  • 2004What Determines Chinese Stock Returns?446 cited
  • 2010Liquidity risk and the cross-section of hedge-fund returns☆421 cited

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

  • 1998An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching406 cited
  • Cited by

    • 2018Multi-moment risk, hedging strategies, & the business cycle26 cited
    • 2014Commonality in hedge fund returns: Driving factors and implications24 cited