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Hedge Fund Return Predictability Under the Magnifying Glass
16 references·12 citing·39 second hop
Hedge Fund Return Predictability Under the Magnifying Glass (2013)Hedge Fund Return Predictability Under th…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…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…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Predictive regressions (1999)Predictive regressionsOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…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…The Combination of Forecasts (1969)The Combination of ForecastsOn the Economic Significance of Stock Return Predictability (2022)On the Economic Significance …Hedge Fund Flows and Performance Streaks:How Investors Weigh Information (2022)Hedge Fund Flows and Performa…Crowded Trades and Tail Risk (2021)Crowded Trades and Tail RiskPredicting hedge fund performance when fund returns are skewed (2019)Predicting hedge fund perform…Unobserved Performance of Hedge Funds (2018)Unobserved Performance of Hed…The relation between fees and return predictability in the mutual fund industry (2015)The relation between fees and…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Market Timing Around the World (2015)Market Timing Around the WorldAlpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? 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(2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Manager sentiment and stock returns (2018)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)The short of it: Investor sentiment and anomalies (2011)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 1999Predictive regressions1,614 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited

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2002
The Statistics of Sharpe Ratios
842 cited

Cited by

  • 2014Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors73 cited
  • 2012Hedge Funds and Stock Market Efficiency70 cited
  • 2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors60 cited
  • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
  • 2015The relation between fees and return predictability in the mutual fund industry46 cited
  • 2022Hedge Fund Flows and Performance Streaks:How Investors Weigh Information41 cited
  • 2022On the Economic Significance of Stock Return Predictability40 cited
  • 2015Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?38 cited
  • 2019Predicting hedge fund performance when fund returns are skewed35 cited
  • 2015Market Timing Around the World33 cited
  • 2021Crowded Trades and Tail Risk33 cited
  • 2018Unobserved Performance of Hedge Funds31 cited