FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2104865481> ?p ?o ?g. }

• W2104865481 endingPage "29" @default.
• W2104865481 startingPage "16" @default.
• W2104865481 abstract "We provide an empirical analysis of two important phenomena influencing the hedge fund industry—contagion and time variation in risk adjusted return (alpha)—in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in hedge fund style index returns and model its time-varying behavior using a dynamic factor framework featuring Markov regime-switching. We find that three regimes—crash, low mean and high mean—are necessary to provide a complete description of joint hedge fund return dynamics. We also document significant time variation in the alpha generating ability of all hedge fund investment styles. The period following the stock market crash of 2000 is dominated by the persistent low return state while the long bull market of 1990s is associated with the strongest performance of the industry generating high positive returns. We also investigate drivers of the regime shifts in the common latent pricing factor and find that both flight to safety and large funding liquidity shocks play an important role in explaining the abrupt shift of the common factor to the crash state." @default.
• W2104865481 created "2016-06-24" @default.
• W2104865481 creator A5026790330 @default.
• W2104865481 creator A5042709907 @default.
• W2104865481 creator A5043248125 @default.
• W2104865481 date "2013-06-01" @default.
• W2104865481 modified "2023-10-09" @default.
• W2104865481 title "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach" @default.
• W2104865481 cites W1968080595 @default.
• W2104865481 cites W1980879152 @default.
• W2104865481 cites W2014378975 @default.
• W2104865481 cites W2033273362 @default.
• W2104865481 cites W2039352825 @default.
• W2104865481 cites W2054349855 @default.
• W2104865481 cites W2074812030 @default.
• W2104865481 cites W2101434526 @default.
• W2104865481 cites W2122326294 @default.
• W2104865481 cites W2127336480 @default.
• W2104865481 cites W2143340649 @default.
• W2104865481 cites W3021190191 @default.
• W2104865481 cites W3022326679 @default.
• W2104865481 cites W3121630491 @default.
• W2104865481 cites W3121964130 @default.
• W2104865481 cites W3122589966 @default.
• W2104865481 cites W3122833861 @default.
• W2104865481 cites W3124212877 @default.
• W2104865481 cites W3124233628 @default.
• W2104865481 cites W3124359179 @default.
• W2104865481 cites W3124726329 @default.
• W2104865481 cites W3124789409 @default.
• W2104865481 cites W3124792793 @default.
• W2104865481 cites W3124889382 @default.
• W2104865481 cites W3124947594 @default.
• W2104865481 doi "https://doi.org/10.1016/j.jempfin.2013.02.005" @default.
• W2104865481 hasPublicationYear "2013" @default.
• W2104865481 type Work @default.
• W2104865481 sameAs 2104865481 @default.
• W2104865481 citedByCount "21" @default.
• W2104865481 countsByYear W21048654812015 @default.
• W2104865481 countsByYear W21048654812016 @default.
• W2104865481 countsByYear W21048654812017 @default.
• W2104865481 countsByYear W21048654812018 @default.
• W2104865481 countsByYear W21048654812019 @default.
• W2104865481 countsByYear W21048654812020 @default.
• W2104865481 countsByYear W21048654812021 @default.
• W2104865481 countsByYear W21048654812022 @default.
• W2104865481 countsByYear W21048654812023 @default.
• W2104865481 crossrefType "journal-article" @default.
• W2104865481 hasAuthorship W2104865481A5026790330 @default.
• W2104865481 hasAuthorship W2104865481A5042709907 @default.
• W2104865481 hasAuthorship W2104865481A5043248125 @default.
• W2104865481 hasBestOaLocation W21048654812 @default.
• W2104865481 hasConcept C10138342 @default.
• W2104865481 hasConcept C106159729 @default.
• W2104865481 hasConcept C10879293 @default.
• W2104865481 hasConcept C149782125 @default.
• W2104865481 hasConcept C151730666 @default.
• W2104865481 hasConcept C162324750 @default.
• W2104865481 hasConcept C183582576 @default.
• W2104865481 hasConcept C189259953 @default.
• W2104865481 hasConcept C204434749 @default.
• W2104865481 hasConcept C2777209242 @default.
• W2104865481 hasConcept C2777871818 @default.
• W2104865481 hasConcept C2780299701 @default.
• W2104865481 hasConcept C2780762169 @default.
• W2104865481 hasConcept C34375142 @default.
• W2104865481 hasConcept C40331085 @default.
• W2104865481 hasConcept C556758197 @default.
• W2104865481 hasConcept C64589626 @default.
• W2104865481 hasConcept C86803240 @default.
• W2104865481 hasConceptScore W2104865481C10138342 @default.
• W2104865481 hasConceptScore W2104865481C106159729 @default.
• W2104865481 hasConceptScore W2104865481C10879293 @default.
• W2104865481 hasConceptScore W2104865481C149782125 @default.
• W2104865481 hasConceptScore W2104865481C151730666 @default.
• W2104865481 hasConceptScore W2104865481C162324750 @default.
• W2104865481 hasConceptScore W2104865481C183582576 @default.
• W2104865481 hasConceptScore W2104865481C189259953 @default.
• W2104865481 hasConceptScore W2104865481C204434749 @default.
• W2104865481 hasConceptScore W2104865481C2777209242 @default.
• W2104865481 hasConceptScore W2104865481C2777871818 @default.
• W2104865481 hasConceptScore W2104865481C2780299701 @default.
• W2104865481 hasConceptScore W2104865481C2780762169 @default.
• W2104865481 hasConceptScore W2104865481C34375142 @default.
• W2104865481 hasConceptScore W2104865481C40331085 @default.
• W2104865481 hasConceptScore W2104865481C556758197 @default.
• W2104865481 hasConceptScore W2104865481C64589626 @default.
• W2104865481 hasConceptScore W2104865481C86803240 @default.
• W2104865481 hasLocation W21048654811 @default.
• W2104865481 hasLocation W21048654812 @default.
• W2104865481 hasOpenAccess W2104865481 @default.
• W2104865481 hasPrimaryLocation W21048654811 @default.
• W2104865481 hasRelatedWork W1968080595 @default.
• W2104865481 hasRelatedWork W2043861291 @default.
• W2104865481 hasRelatedWork W2139508107 @default.
• W2104865481 hasRelatedWork W2253509993 @default.
• W2104865481 hasRelatedWork W3121216765 @default.
• W2104865481 hasRelatedWork W3122357788 @default.

• next