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• W4307051874 abstract "Hedge funds use different strategies to outperform benchmark indices by undertaking complex, versatile and dynamic techniques. These strategies may however create alpha generating opportunities in the time series that may be contrary to the existence of random walk behaviour. Tests using unit-root structural break analysis led to rejection of random walk hypothesis favouring trend stationarity or mean reversion. Additional tests including structural breaks are conducted to establish persistence of alpha generating opportunities for twelve different hedge fund indices. For some strategies, profitable prospects occur only before the break date, as evidence suggests a paradigm shift between the two periods." @default.
• W4307051874 created "2022-10-23" @default.
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• W4307051874 date "2022-10-21" @default.
• W4307051874 modified "2023-09-23" @default.
• W4307051874 title "Trend reversal and alpha generation by hedge funds" @default.
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• W4307051874 doi "https://doi.org/10.1080/00036846.2022.2123104" @default.
• W4307051874 hasPublicationYear "2022" @default.
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