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| Author: | Bali, T.G. (et al.) |
| Title: | Do hedge funds' exposures to risk factors predict their future returns? |
| Journal: | Journal of Financial Economics
2011 : JUL, VOL 101:1 p. 36-68 |
| Index terms: | macroeconomics finance markets funds risk performance appraisal |
| Language: | eng |
| Abstract: | This article examines hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and explores their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and non-parametric test indicate a notably positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, taking in account of market, size, book-to-market, and momentum factors as well as the trend-following factors in stocks, short-term interests, currencies, bonds, and commodities. |
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