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On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
16 references·16 citing·33 second hopsampled
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures (2012)On the High‐Frequency Dynamics of Hedge F…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Hedge Funds and the Technology Bubble (2004)Hedge Funds and the Technolog…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…The Investor Fear Gauge (2000)The Investor Fear GaugeThe Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU? (2020)Which popular predictor is mo…Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? (2019)Reassessing False Discoveries…Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets (2019)Forecasting the U.S. stock vo…Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs (2019)Dash for Cash: Monthly Market…Thousands of Alpha Tests (2018)Thousands of Alpha TestsVolatility risk premia and exchange rate predictability (2016)Volatility risk premia and ex…Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades (2016)Information Flows in Foreign …The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Change You Can Believe In? Hedge Fund Data Revisions (2015)Change You Can Believe In? He…Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas (2014)Incentives and Endogenous Ris…Effects of Unconventional Monetary Policy on Financial Institutions (2014)Effects of Unconventional Mon…When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns (2013)When There Is No Place to Hid…Hedge Fund Return Predictability Under the Magnifying Glass (2013)Hedge Fund Return Predictabil…Do Hedge Funds Manipulate Stock Prices? (2013)Do Hedge Funds Manipulate Sto…When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns (2010)When There is No Place to Hid…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)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)The Pricing of Options and Corporate Liabilities (1973)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)The Performance of Mutual Funds in the Period 1945-1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Multifactor Explanations of Asset Pricing Anomalies (1996)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 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
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2004Hedge Funds and the Technology Bubble1,104 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2009

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

Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
1,098 cited
  • 2000The Investor Fear Gauge1,097 cited
  • Cited by

    • 2016Volatility risk premia and exchange rate predictability192 cited
    • 2013Do Hedge Funds Manipulate Stock Prices?144 cited
    • 2018Thousands of Alpha Tests142 cited
    • 2020Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?133 cited
    • 2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades124 cited
    • 2014Effects of Unconventional Monetary Policy on Financial Institutions113 cited
    • 2013When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns93 cited
    • 2013Hedge Fund Return Predictability Under the Magnifying Glass78 cited
    • 2015Change You Can Believe In? Hedge Fund Data Revisions74 cited
    • 2010When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns73 cited
    • 2014Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas71 cited
    • 2019Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs64 cited
    • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
    • 2019Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power?56 cited
    • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
    • 2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets51 cited