Stafylas, Dimitrios, Anderson, Keith and Uddin, Moshfique (2017). Recent advances in explaining hedge fund returns:implicit factors and exposures. Global Finance Journal, 33 , pp. 69-87.
Abstract
We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.
Publication DOI: | https://doi.org/10.1016/j.gfj.2016.08.001 |
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Divisions: | College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship College of Business and Social Sciences > Aston Business School |
Additional Information: | © 2016, 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,implicit factors,statistical factors,linear and non-linear,multi-factor models,alpha and beta returns,Finance,Economics and Econometrics |
Publication ISSN: | 1873-5665 |
Last Modified: | 05 Aug 2024 17:40 |
Date Deposited: | 20 Dec 2016 15:50 |
Full Text Link: | |
Related URLs: |
http://www.scop ... tnerID=8YFLogxK
(Scopus URL) |
PURE Output Type: | Article |
Published Date: | 2017-05-01 |
Published Online Date: | 2016-08-28 |
Accepted Date: | 2016-08-24 |
Authors: |
Stafylas, Dimitrios
(![]() Anderson, Keith Uddin, Moshfique |