Macroeconomic Risk and Hedge Fund Returns
By Turan G. Bali, Stephen J. Brown, M. O. Caglayan. 2014
272 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/77dbc8a68a9cec711f16fbbd0f0ad1854fe479b1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- M. Ahamed
- Sushanta Mallick
- Stefan Ruenzi
- F. Weigert
- Vikas Agarwal
- Melvyn Teo
- Claudia Czado
- Martin Eling
In Finance
- Stefan Ruenzi
- M. Ahamed
- Sushanta Mallick
- F. Weigert
- Vikas Agarwal
- Melvyn Teo
- Claudia Czado
- Andrew J. Patton
Citations in the corpus
- Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, unknown): “…to correlation risk (Buraschi, Kosowski, and Trojani, 2014), liquidity risk (Aragon, 2007; Sadka, 2010; Teo, 2011), macroeconomic uncertainty risk (Bali, Brown, and Caglayan, 2014), and volatility risk (Bondarenko, 2004; Agarwal, Bakshi, and Huij, 2009). exchange traded funds (ETFs) or index…”
- Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “…Chicago Board Options Exchange (CBOE) volatility index (VIX), and the Gao, Gao, and Song (2014) RIX factor as well as negatively related to the market return, the Pástor and Stambaugh (2003) aggregate liquidity risk factor, and the Bali, Brown, and Caglayan (2014) macroeconomic uncertainty factor.”
- Is financial inclusion good for bank stability? International evidence (2017, methodology): “21 Constructing composite index using principal components analysis is well-documented in several papers (see e.g., Ellul and Yerramilli, 2013; Bali et al., 2014).”