Hedge Funds with Style

By Stephen J. Brown, W. Goetzmann. 2001

353 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fddb452e704f2b212def3f9d5bbebcd62685ed63

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Citations in the corpus

Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, neutral): “…Ackermann, McEnally, and Ravenscraft (1999), Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (2000), Dor and Jagannathan (2002), Brown and Goetzmann (2003), Getmansky, Lo, and Makarov (2004), Agarwal and Naik (2004), Malkiel and Saha (2004), and Chan, Getmansky, Haas, and Lo…”
Financial development and financial liberalization in Asia: Thresholds, institutions and the sequence of liberalization (2006, background): “…foreign investors, mostly hedge funds, to actively engage, there have not developed so much literature regarding these issues, mainly owing to the recentness of the development of hedge funds and offshore markets (except for Fung and Hsieh, 2001; Brown and Goetzmann, 2001; and Brown et al., 1998).”
Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009, background): “(1997) and Brown and Goetzmann (2003), which show that there are few distinct style factors in hedge fund returns.”
Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration (2008, methodology): “For another finance application, see Brown et al. (2002). 43 Altman (1968) creates a related z-score model to study credit scoring.”
Style Effects in the Cross-Section of Stock Returns (2004, neutral): “First, Morningstar styles coincide with the widespread use of the small/large and value/growth stock 2 Other significant contributions to the work on styles include Brown and Goetzmann (1997, 2001) and Chan, Chen, and Lakonishok (2001).”
The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, neutral): “Performance attribution and style analysis in hedge funds have been studied in the following papers: Agarwal and Naik (2000b, 2000c), Brown and Goetzmann (2003), Brown, Goetzmann and Ibbotson (1999), Brown, Goetzmann, and Park (2000, 2001a, 2001b), Fung 5 and Hsieh (1997), and Lochoff (2002).”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, positive): “motivated by Brown and Goetzmann (2003) and Brown, Lajbcygier, and”
Capacity Constraints and Hedge Fund Strategy Returns (2007, background): “Research by Fung and Hsieh (1997) and Brown and Goetzmann (2003) shows that there are five to eight distinct style factors in hedge fund returns.”
What Matters for Financial Development? Capital Controls, Institutions, and Interactions (2005, neutral): “8 The exceptions include Fung and Hsieh (2001), their other works, Brown and Goetzmann (2001), and Brown et al. (1998). 9 Kim and Wei study the behavior of the Korean offshore market, and find that the Korean offshore funds trade more aggressively than onshore markets; but they do not engage in posi”
Hedge Funds and the Technology Bubble (2004, neutral): “Fung and Hsieh (1997), Ackermann, McEnally, and Ravenscraft (1999), Agarwal and Naik (2000), and Brown and Goetzmann (2003) investigate properties of hedge fund returns and manager skill.”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, neutral): “We define fund investment styles by clustering historic returns using a procedure similar to that in Brown and Goetzmann (1997, 2003).”