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Macroeconomic Risk and Hedge Fund Returns
16 references·0 citing·34 second hop
Macroeconomic Risk and Hedge Fund Returns (2013)Macroeconomic Risk and Hedge Fund ReturnsDisentangling the Channels of the 2007–09 Recession (2012)Disentangling the Channels of…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Do hedge funds deliver alpha?…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Disagreement about Inflation Expectations (2003)Disagreement about Inflation …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…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)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 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)The Behavior of Stock-Market Prices (1965)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2012Disentangling the Channels of the 2007–09 Recession838 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2003Disagreement about Inflation Expectations765 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 2007

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Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
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