The macroeconomic drivers in hedge fund beta management
M Lambert, F Platania - Economic Modelling, 2020 - Elsevier
We investigate how macroeconomic indicators alter the dynamic risk exposure of different
hedge fund style strategies. We implement a multifactor model to estimate the unobservable …
hedge fund style strategies. We implement a multifactor model to estimate the unobservable …
Non-default component of sovereign emerging market yield spreads and its determinants: Evidence from credit default swap market
UN Kucuk - 2010 - mpra.ub.uni-muenchen.de
This article shows that a sizable component of emerging market sovereign yield spreads is
due to factors other than default risk, such as liquidity. The author estimates the non-default …
due to factors other than default risk, such as liquidity. The author estimates the non-default …
Hedge fund strategies and time-varying alphas and betas
S Frydenberg, K Hrafnkelsson… - The Journal of …, 2017 - search.proquest.com
This article compares the time-varying estimates of alphas and betas for hedge funds in bear
and bull market periods. The time-varying models show that most hedge fund strategies vary …
and bull market periods. The time-varying models show that most hedge fund strategies vary …
Hedge fund styles and macroeconomic uncertainty
M Lambert, F Platania - Available at SSRN 2786639, 2016 - papers.ssrn.com
We examine the dynamic trading strategies implemented by hedge fund managers using a
Kalman filter. We investigate the risk drivers of dynamic trades, examining which …
Kalman filter. We investigate the risk drivers of dynamic trades, examining which …
Monetary policy after the crisis: A threat to hedge funds' alphas?
A Berglund, M Guidolin, M Pedio - Journal of Asset Management, 2020 - Springer
We examine the effects of US monetary policy announcements during and after the Great
Financial Crisis on the average abnormal returns (the “alpha”) of the hedge fund industry as …
Financial Crisis on the average abnormal returns (the “alpha”) of the hedge fund industry as …
Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?
A Berglund, M Guidolin, M Pedio - BAFFI CAREFIN Centre …, 2018 - papers.ssrn.com
We examine the effects of US monetary policy announcements during and after the Great
Financial Crisis on the average abnormal returns (the “alpha”) of the hedge fund industry as …
Financial Crisis on the average abnormal returns (the “alpha”) of the hedge fund industry as …