FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122357788> ?p ?o ?g. }

• W3122357788 endingPage "279" @default.
• W3122357788 startingPage "264" @default.
• W3122357788 abstract "Extending previous work on hedge fund pricing, this paper introduces the idea of modelling the conditional quantiles of hedge fund returns using a set of risk factors. Quantile regression analysis provides a way of understanding how the relationship between hedge fund returns and risk factors changes across the distribution of conditional returns. We propose a Bayesian approach to model comparison which provides posterior probabilities for different risk factor models that can be used for model averaging. The most relevant risk factors are identified for different quantiles and compared with those obtained for the conditional expectation model. We find differences in factor effects across quantiles of returns, which suggest that the standard conditional mean regression method may not be adequate for uncovering the risk-return characteristics of hedge funds. We explore potential economic impacts of our approach by analysing hedge fund single strategy return series and by constructing style portfolios." @default.
• W3122357788 created "2021-02-01" @default.
• W3122357788 creator A5061773399 @default.
• W3122357788 creator A5081867189 @default.
• W3122357788 creator A5088496171 @default.
• W3122357788 date "2009-03-01" @default.
• W3122357788 modified "2023-10-15" @default.
• W3122357788 title "Quantile regression analysis of hedge fund strategies" @default.
• W3122357788 cites W1492459172 @default.
• W3122357788 cites W1501835916 @default.
• W3122357788 cites W1980071406 @default.
• W3122357788 cites W1995834279 @default.
• W3122357788 cites W1998338386 @default.
• W3122357788 cites W2005375417 @default.
• W3122357788 cites W2007682563 @default.
• W3122357788 cites W2016691324 @default.
• W3122357788 cites W2021807473 @default.
• W3122357788 cites W2034946021 @default.
• W3122357788 cites W2043436310 @default.
• W3122357788 cites W2046163352 @default.
• W3122357788 cites W2056006900 @default.
• W3122357788 cites W2056700911 @default.
• W3122357788 cites W2066709835 @default.
• W3122357788 cites W2084871407 @default.
• W3122357788 cites W2087582661 @default.
• W3122357788 cites W2091637085 @default.
• W3122357788 cites W2092801055 @default.
• W3122357788 cites W2094221602 @default.
• W3122357788 cites W2095434538 @default.
• W3122357788 cites W2098996963 @default.
• W3122357788 cites W2101434526 @default.
• W3122357788 cites W2107539208 @default.
• W3122357788 cites W2117897510 @default.
• W3122357788 cites W2131374304 @default.
• W3122357788 cites W2136796925 @default.
• W3122357788 cites W2147646644 @default.
• W3122357788 cites W2148549334 @default.
• W3122357788 cites W2148654185 @default.
• W3122357788 cites W2150747312 @default.
• W3122357788 cites W2152663603 @default.
• W3122357788 cites W2153489418 @default.
• W3122357788 cites W2153580489 @default.
• W3122357788 cites W2168175751 @default.
• W3122357788 cites W2170813608 @default.
• W3122357788 cites W2482896810 @default.
• W3122357788 cites W2607139001 @default.
• W3122357788 cites W3122206234 @default.
• W3122357788 cites W3122313613 @default.
• W3122357788 cites W3122328496 @default.
• W3122357788 cites W3122854346 @default.
• W3122357788 cites W3122865027 @default.
• W3122357788 cites W3123722107 @default.
• W3122357788 cites W3123750849 @default.
• W3122357788 cites W3124539603 @default.
• W3122357788 cites W3125564839 @default.
• W3122357788 cites W4229849994 @default.
• W3122357788 cites W4232632925 @default.
• W3122357788 cites W4236670843 @default.
• W3122357788 cites W4239427059 @default.
• W3122357788 cites W4241584625 @default.
• W3122357788 cites W4241653265 @default.
• W3122357788 cites W4243306052 @default.
• W3122357788 cites W4246717377 @default.
• W3122357788 cites W4247021123 @default.
• W3122357788 cites W4252011695 @default.
• W3122357788 cites W4255582690 @default.
• W3122357788 cites W4362222422 @default.
• W3122357788 cites W4362223620 @default.
• W3122357788 doi "https://doi.org/10.1016/j.jempfin.2008.10.002" @default.
• W3122357788 hasPublicationYear "2009" @default.
• W3122357788 type Work @default.
• W3122357788 sameAs 3122357788 @default.
• W3122357788 citedByCount "69" @default.
• W3122357788 countsByYear W31223577882012 @default.
• W3122357788 countsByYear W31223577882013 @default.
• W3122357788 countsByYear W31223577882014 @default.
• W3122357788 countsByYear W31223577882015 @default.
• W3122357788 countsByYear W31223577882016 @default.
• W3122357788 countsByYear W31223577882017 @default.
• W3122357788 countsByYear W31223577882018 @default.
• W3122357788 countsByYear W31223577882019 @default.
• W3122357788 countsByYear W31223577882020 @default.
• W3122357788 countsByYear W31223577882021 @default.
• W3122357788 countsByYear W31223577882022 @default.
• W3122357788 countsByYear W31223577882023 @default.
• W3122357788 crossrefType "journal-article" @default.
• W3122357788 hasAuthorship W3122357788A5061773399 @default.
• W3122357788 hasAuthorship W3122357788A5081867189 @default.
• W3122357788 hasAuthorship W3122357788A5088496171 @default.
• W3122357788 hasConcept C10138342 @default.
• W3122357788 hasConcept C105795698 @default.
• W3122357788 hasConcept C10879293 @default.
• W3122357788 hasConcept C118671147 @default.
• W3122357788 hasConcept C149782125 @default.
• W3122357788 hasConcept C155301685 @default.
• W3122357788 hasConcept C162118730 @default.
• W3122357788 hasConcept C162324750 @default.
• W3122357788 hasConcept C204434749 @default.

• next