Hedge Fund Performance and Manager Skill

By F. Edwards, M. O. Caglayan. 2001

322 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7ff7cdb64765af00387e2ba52099b0ee7b3c654c

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Citations in the corpus

Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, unknown): “, Agarwal and Naik (2004), Edwards and Caglayan (2001), and Fung and Hsieh (2004). Thus, for our second approach we compare hedge fund alpha to the dollar-weighted wedge documented in this study; the intuition is that investors’ risk-adjusted return (or net alpha) is really fund alpha minus the doll”
Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009, background): “For example, Ackermann, McEnally, and Ravenscraft (1999), Liang (1999), and Edwards and Caglayan (2001) find that hedge funds that charge higher incentive fees are associated with better performance.”
Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, unknown): “Several authors have estimated factor models for hedge funds using more easily interpretable factors such as fund characteristics and indexes (Schneeweis and Spurgin, 1998; Liang, 1999; Edwards and Caglayan, 2001; Capocci and Hubner, 2004; Hill, Mueller, and Balasubramanian, 2004), and the returns t”
The impact of experience on risk taking, overconfidence, and herding of fund managers: Complementary survey evidence (2006, background): “Recent empirical studies have shown that young and inexperienced fund managers earn significantly higher returns than their older and more experienced colleagues [see e.g. Chevalier and Ellison (1999a), Liang (1999), and Edwards and Caglayan (2001)].”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “The 15 financial and macroeconomic risk factors included in this analysis are as follows: 1) MKT: Value-weighted NYSE/AMEX/NASDAQ (CRSP) market index return; 2) SMB: Fama-French (1993) size factor; 3) HML: Fama-French (1993) book-to-market factor; 4) MOM: Carhart (1997) momentum factor; 5) DEF: Defa”
Principles for sustainability rating of investment funds (2005, background): “Empirical investigations of hedge funds by Edwards and Caglayan (2001) suggest that the skill levels of fund managers might explain the positive excess returns.”
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “Edwards and Caglayan (2001) considered an eight-factor model to evaluate hedge fund performance.”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “Then in the second stage, we run the bivariate Fama and MacBeth regressions using the systematic and residual risk measures generated from this extended six-factor model. The second row of Table 4 (left panel) shows that the average slope on systematic risk is positive, 0.0194, and significant with ”
Global Hedge Funds: Risk, Return, and Market Timing (2002, background): “This result is consistent with Ackermann et al. and with Edwards and Caglayan (2001b).”