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Short-term hedge fund performance

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SLAVUTSKAYA, Anna, 2013. Short-term hedge fund performance. In: Journal of Banking & Finance. 37(11), pp. 4404-4431. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2013.07.034

@article{Slavutskaya2013-11Short-41827, title={Short-term hedge fund performance}, year={2013}, doi={10.1016/j.jbankfin.2013.07.034}, number={11}, volume={37}, issn={0378-4266}, journal={Journal of Banking & Finance}, pages={4404--4431}, author={Slavutskaya, Anna} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dspace:isPartOfCollection rdf:resource=""/> <bibo:uri rdf:resource=""/> <dc:creator>Slavutskaya, Anna</dc:creator> <dc:language>eng</dc:language> <dcterms:title>Short-term hedge fund performance</dcterms:title> <dcterms:issued>2013-11</dcterms:issued> <dc:date rdf:datatype="">2018-03-20T08:36:41Z</dc:date> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <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> <dcterms:isPartOf rdf:resource=""/> <dcterms:available rdf:datatype="">2018-03-20T08:36:41Z</dcterms:available> <dc:contributor>Slavutskaya, Anna</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> </rdf:Description> </rdf:RDF>

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