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The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds
16 references·15 citing·30 second hopsampled
The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds (2011)The risk in hedge fund strategies: Theory…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Crowded Trades and Tail Risk (2021)Crowded Trades and Tail RiskPairs Trading in Cryptocurrency Markets (2020)Pairs Trading in Cryptocurren…What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy (2016)What Is the Nature of Hedge F…Learning on the Job? Employee Mobility in the Asset Management Industry (2016)Learning on the Job? Employee…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …The Cost of Capital for Alternative Investments (2015)The Cost of Capital for Alter…Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market (2015)Risk and Return in Convertibl…Asset Allocation: Risk Models for Alternative Investments (2014)Asset Allocation: Risk Models…Funds of hedge funds: performance, risk and capital formation 2005 to 2010 (2012)Funds of hedge funds: perform…Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms (2012)Exploring Uncharted Territori…Skill, Luck, and the Multiproduct Firm: Evidence from Hedge Funds (2011)Skill, Luck, and the Multipro…The performance of hedge funds and mutual funds in emerging markets (2010)The performance of hedge fund…Speculative capital and currency carry trades (2010)Speculative capital and curre…Risk and return in convertible arbitrage: Evidence from the convertible bond market (2010)Risk and return in convertibl…Tracking Problems, Hedge Fund Replication and Alternative Beta (2009)Tracking Problems, Hedge Fund…A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Common risk factors in the returns on stocks and bonds (1993)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)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)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Editor's Choice Digesting Anomalies: An Investment ApproachMedia Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Liquidity and leverage (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited

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

  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • Cited by

    • 2010The performance of hedge funds and mutual funds in emerging markets114 cited
    • 2010Speculative capital and currency carry trades106 cited
    • 2015Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market92 cited
    • 2015The Cost of Capital for Alternative Investments77 cited
    • 2012Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms72 cited
    • 2009Tracking Problems, Hedge Fund Replication and Alternative Beta57 cited
    • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
    • 2020Pairs Trading in Cryptocurrency Markets47 cited
    • 2014Asset Allocation: Risk Models for Alternative Investments42 cited
    • 2016Learning on the Job? Employee Mobility in the Asset Management Industry35 cited
    • 2016What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy34 cited
    • 2010Risk and return in convertible arbitrage: Evidence from the convertible bond market33 cited
    • 2021Crowded Trades and Tail Risk33 cited
    • 2012Funds of hedge funds: performance, risk and capital formation 2005 to 201031 cited
    • 2011Skill, Luck, and the Multiproduct Firm: Evidence from Hedge Funds24 cited