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Hedge Fund Persistence Performance

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 

Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.

Product Specifications
SKU :COC53857
AuthorBernad Kevin and Ozhan Emeline
LanguageEnglish
BindingPaperback
Number of Pages56
Publishing Year2014-02-05T00:00:00.000
ISBN9783659524103
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-06-08 00:00:00