Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Stafylas, Dimitrios and Andrikopoulos, Athanasios (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in International Business and Finance, 52 ,

Abstract

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a switching Markov model to endogenously determine different market conditions. We find that HFs deliver positive alpha only during “good” times, irrespective of their fundamentals. During “bad” times, they minimise their systematic risk. Small and young funds, and those with redemption restrictions deliver higher alpha compared to their peers during “good” times. Finally, specific strategies deliver significantly negative alpha during “bad” times.

Publication DOI: https://doi.org/10.1016/j.ribaf.2019.101130
Divisions: Aston Business School > Economics, Finance & Entrepreneurship
Aston Business School
Additional Information: © 2019, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Hedge fund performance,Hedge funds,Hedge funds characteristics,Business, Management and Accounting (miscellaneous),Finance
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Related URLs: https://linking ... 27553191930563X (Publisher URL)
http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Online Date: 2020-04
Authors: Stafylas, Dimitrios ( 0000-0002-0326-1877)
Andrikopoulos, Athanasios

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Access Restriction: Restricted to Repository staff only until 17 May 2021.

License: Creative Commons Attribution Non-commercial No Derivatives


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