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Assessing and valuing the nonlinear structure of hedge fund returns
16 references·6 citing·32 second hop
Assessing and valuing the nonlinear structure of hedge fund returns (2010)Assessing and valuing the nonlinear struc…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts (2011)On Market Timing and Investme…Hedge Funds: Risk and Return (2005)Hedge Funds: Risk and ReturnHedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value? (2003)Hedge Fund Performance 1990-2…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Testing for Linearity (1999)Testing for LinearityInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Differential Information and Performance Measurement Using a Security Market Line (1985)Differential Information and …Market Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Multivariate crash risk (2022)Multivariate crash riskHedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Hedge Fund Return Predictability Under the Magnifying Glass (2013)Hedge Fund Return Predictabil…Asset Allocation Dynamics in the Hedge Fund Industry (2012)Asset Allocation Dynamics in …Testing Non-Linear Dependence in the Hedge Fund Industry (2010)Testing Non-Linear Dependence…A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies (2008)A Bayesian Approach to Detect…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)The Cross-Section of Expected Stock Returns (1992)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Strategic and Tactical Value of Commodity Futures (2006)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)… and the Cross-Section of Expected Returns (2015)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresThe Limits of Arbitrage (1995)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)
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References

  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 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
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited
  • 2011On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts506 cited
  • 1999Testing for Linearity451 cited
  • 2005Hedge Funds: Risk and Return428 cited
  • 1985

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Differential Information and Performance Measurement Using a Security Market Line
352 cited
  • 2003Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value?334 cited
  • Cited by

    • 2013Hedge Fund Return Predictability Under the Magnifying Glass78 cited
    • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
    • 2012Asset Allocation Dynamics in the Hedge Fund Industry42 cited
    • 2022Multivariate crash risk35 cited
    • 2008A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies29 cited
    • 2010Testing Non-Linear Dependence in the Hedge Fund Industry28 cited