Browsing Faculty of Business by Subject "Return predictability"
Now showing items 1-2 of 2
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Do hedge funds’ exposures to risk factors predict their future returns?
(Elsevier, 2011-07)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 ... -
Systematic risk and the cross section of hedge fund returns
(Elsevier, 2012-10)This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...
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