Anderson, Keith Philip orcid.org/0000-0002-6557-422X, Stafylas, Dimitrios and Uddin, Muhammad Moshfique (2017) Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures. Global Finance Journal. pp. 69-87.
Abstract
We survey articles covering how hedge funds returns are explained, using largely non-linear 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 analyzes 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 the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 22 May 2017 13:30 |
Last Modified: | 16 Oct 2024 13:47 |
Published Version: | https://doi.org/10.1016/j.gfj.2016.08.001 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.gfj.2016.08.001 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:116764 |
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