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dc.contributor.authorBali, T. G.
dc.contributor.authorBrown, S.
dc.contributor.authorÇağlayan, Mustafa Onur
dc.date.accessioned2011-03-11T12:04:41Z
dc.date.available2011-03-11T12:04:41Z
dc.date.issued2011-07
dc.identifier.issn0304-405X
dc.identifier.urihttp://hdl.handle.net/10679/149
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0304405X11000419
dc.descriptionDue to copyright restrictions, the access to the full text of this article is only available via subscription.
dc.description.abstractThis paper investigates hedge funds’ exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the crosssectional variation in hedge fund returns. Both parametric and nonparametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and after controlling for market, size, book-to-market, and momentum factors as well as the trendfollowing factors in stocks, short-term interest rates, currencies, bonds, and commodities. The paper also provides macro and micro level explanations of our findings.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Financial Economics
dc.rightsrestrictedAccess
dc.titleDo hedge funds’ exposures to risk factors predict their future returns?en_US
dc.typeArticleen_US
dc.peerreviewedyesen_US
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID21940
dc.contributor.ozuauthorÇağlayan, Mustafa Onur
dc.identifier.volume101
dc.identifier.issue1
dc.identifier.startpage36
dc.identifier.endpage68
dc.identifier.wosWOS:000291067800003
dc.identifier.doi10.1016/j.jfineco.2011.02.008
dc.subject.keywordsHedge fundsen_US
dc.subject.keywordsReturn predictabilityen_US
dc.subject.keywordsRisk factorsen_US
dc.identifier.scopusSCOPUS:2-s2.0-79956160617
dc.contributor.authorGenderMale


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