Do Hedge Funds Hedge?

By Clifford S. Asness, Robert J. Krail, John M. Liew. 2001

520 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/b3eb79af43120ed7ec54b3c8c0a05e9c7273ebd2

How researchers see this paper

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In Accounting

1. William Fung
2. David A. Hsieh
3. George O. Aragon
4. Nicolas P. B. Bollen
5. Veronika K. Pool
6. Narayan Naik
7. Vikas Agarwal
8. Melvyn Teo

In Finance

1. Veronika K. Pool
2. William Fung
3. David A. Hsieh
4. Nicolas P. B. Bollen
5. George O. Aragon
6. Melvyn Teo
7. Narayan Naik
8. Vikas Agarwal

Citations in the corpus

• Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry (2011, unknown): “Asness, Krail, and Liew (2001) and Getmansky et al. (2004) raise the concern that the traditional measure of market beta for a hedge fund can be biased if the fund holds a large portion of illiquid securities that have stale asset values or conducts return-smoothing practice.”
• Asset-Based Style Factors for Hedge Funds (2002, result): “Including the Wilshire Small-Cap Index made the S&P 500 and its lags statistically significant, which raises an interesting alternative interpretation of the results reported by Asness, Krail, and Liew (2001).”
• Venture Capital and Other Private Equity: A Survey (2011, unknown): “These and other known data issues (such as stale prices, illiquidity premium, selection bias, and 25 (Asness et al. 2001). missing data on defunct dates) likely account for the mixed results thus far in the literature.”
• Flights to Safety (2014, unknown): “It is well known that most hedge fund styles have positive market exposures (for example, see Asness et al. (2001) and Patton (2009) for market neutral funds).”
• Do Hedge Funds Manipulate Stock Prices (2012, unknown): “Specifically, investors judge hedge funds according to their risk adjusted performance (Asness, Krail, and Liew 2001); a highly negative return will thus leave a lasting stain on a fund’s track-record.”
• How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, unknown): “Second, hedge fund returns exhibit large autocorrelations that are likely due to hedge funds holding illiquid assets and return-smoothing [Asness, Krail, and Liew (2001) and Getmansky, Lo, and Makarov (2004)].”