Publikation:

Short-term hedge fund performance

Lade...
Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2013

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Journal of Banking & Finance. 2013, 37(11), pp. 4404-4431. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2013.07.034

Zusammenfassung

Hedge fund returns are often explained using linear factor models such as Fung and Hsieh (2004). However, since most hedge funds live only for 3 years, these linear regressions are subject to over-parameterization. I improve the out-of-sample accuracy of the linear factor model by combining cross-sectional and time series information for groups of hedge funds with similar investment strategies. The additional cross-sectional information allows more accurate estimates of risk exposures. I also propose a trading strategy based on this methodology for extracting substantially larger risk-adjusted returns.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690SLAVUTSKAYA, Anna, 2013. Short-term hedge fund performance. In: Journal of Banking & Finance. 2013, 37(11), pp. 4404-4431. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2013.07.034
BibTex
@article{Slavutskaya2013-11Short-41827,
  year={2013},
  doi={10.1016/j.jbankfin.2013.07.034},
  title={Short-term hedge fund performance},
  number={11},
  volume={37},
  issn={0378-4266},
  journal={Journal of Banking & Finance},
  pages={4404--4431},
  author={Slavutskaya, Anna}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/41827">
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/41827"/>
    <dcterms:title>Short-term hedge fund performance</dcterms:title>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-03-20T08:36:41Z</dc:date>
    <dcterms:issued>2013-11</dcterms:issued>
    <dcterms:abstract xml:lang="eng">Hedge fund returns are often explained using linear factor models such as Fung and Hsieh (2004). However, since most hedge funds live only for 3 years, these linear regressions are subject to over-parameterization. I improve the out-of-sample accuracy of the linear factor model by combining cross-sectional and time series information for groups of hedge funds with similar investment strategies. The additional cross-sectional information allows more accurate estimates of risk exposures. I also propose a trading strategy based on this methodology for extracting substantially larger risk-adjusted returns.</dcterms:abstract>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Slavutskaya, Anna</dc:creator>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-03-20T08:36:41Z</dcterms:available>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:language>eng</dc:language>
    <dc:contributor>Slavutskaya, Anna</dc:contributor>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen