Stafylas, D, Anderson, K and Uddin, M (2017) Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures. Global Finance Journal, 33. pp. 69-87. ISSN 1044-0283
Abstract
We survey articles covering how hedge funds returns are explained, using largely nonlinear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process.We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge funds exposures using advanced econometric methods. This is the first review that analyses very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Elsevier Inc. All rights reserved. This is an author produced version of a paper published in Global Finance Journal. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Hedge fund performance; Implicit factors; Statistical factors; Linear and non-linear multi-factor models; Alpha and beta returns |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 08 Sep 2016 11:48 |
Last Modified: | 28 Feb 2018 01:38 |
Published Version: | https://dx.doi.org/10.1016/j.gfj.2016.08.001 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.gfj.2016.08.001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:104397 |