Do hedge funds’ exposures to risk factors predict their future returns?
dc.contributor.author | Bali, T. G. | |
dc.contributor.author | Brown, S. | |
dc.contributor.author | Çağlayan, Mustafa Onur | |
dc.date.accessioned | 2011-03-11T12:04:41Z | |
dc.date.available | 2011-03-11T12:04:41Z | |
dc.date.issued | 2011-07 | |
dc.identifier.issn | 0304-405X | |
dc.identifier.uri | http://hdl.handle.net/10679/149 | |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0304405X11000419 | |
dc.description | Due to copyright restrictions, the access to the full text of this article is only available via subscription. | |
dc.description.abstract | This 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.iso | eng | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.ispartof | Journal of Financial Economics | |
dc.rights | restrictedAccess | |
dc.title | Do hedge funds’ exposures to risk factors predict their future returns? | en_US |
dc.type | Article | en_US |
dc.peerreviewed | yes | en_US |
dc.publicationstatus | published | en_US |
dc.contributor.department | Özyeğin University | |
dc.contributor.authorID | (ORCID 0000-0002-8598-4269 & YÖK ID 21940) Çağlayan, Mustafa | |
dc.contributor.ozuauthor | Çağlayan, Mustafa Onur | |
dc.identifier.volume | 101 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 36 | |
dc.identifier.endpage | 68 | |
dc.identifier.wos | WOS:000291067800003 | |
dc.identifier.doi | 10.1016/j.jfineco.2011.02.008 | |
dc.subject.keywords | Hedge funds | en_US |
dc.subject.keywords | Return predictability | en_US |
dc.subject.keywords | Risk factors | en_US |
dc.identifier.scopus | SCOPUS:2-s2.0-79956160617 | |
dc.contributor.authorMale | 1 | |
dc.relation.publicationcategory | Article - International Refereed Journal - Institutional Academic Staff |
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