haku: @indexterm Hedging / yhteensä: 349
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| Tekijä: | Ding, B. Shawky, H.A. |
| Otsikko: | The performance of hedge fund strategies and the asymmetry of return distributions |
| Lehti: | European Financial Management
2007 : MAR, VOL. 13:2, p. 309-331 |
| Asiasana: | financial performance hedging return on investment |
| Kieli: | eng |
| Tiivistelmä: | This study presents hedge fund performance estimates that adjust for stale prices, Fama-French risk factors and skewness. These new performance estimates are contrasted with traditional performance measures. Three-factor models are used to adjust for staleness in prices and to incorporate Fama-French factors along with the Harvey-Siddique (2000) two-factor model that incorporates skewness. It is found that for the period 1990-2003, all hedge fund categories achieve above average performance when measured against an aggregate market index. |
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