Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?

150 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “These results are consistent with Boyson, Stahel, and Stulz (2010), Sadka (2012), and Bali, Brown, and Caglayan (2011, 2012), who find that the Fama and French U.S. stock factors do not explain the cross section of hedge fund returns very well.”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “…1 to 5, we observe that the next-month average raw returns on uncertainty beta portfolios increase monotonically in most cases, except for the uncertainty beta portfolio for unemployment ( UUNEMPti _ , ) and the uncertainty beta portfolio for short-term interest rate changes ( URRELti _ , ).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “The main finding in Bali, Brown, and Caglayan (2011) is that hedge funds with a higher (lower) exposure to default spread (inflation) generate statistically and economically higher returns in the following month.”