Hedge fund returns: an assessment of their statistical properties, predictability and exposures to economic risks
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
Logos-Verl.
2011
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| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XX, 260 S. graph. Darst. |
| ISBN: | 9783832527396 |
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MARC
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Record in the Search Index
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IMAGE 1
VII
CONTENTS
LIST OF TABLES XI
LIST OF FIGURES XIII
LIST OF SYMBOLS XV
LIST OF ABBREVIATIONS XIX
1 INTRODUCTION 1
1.1 CONTEXT AND RELEVANCE 1
1.2 PURPOSE AND STRUCTURE OF STUDY 3
2 PRINCIPLE TERMS AND CONCEPTS 7
2.1 PRELIMINARY REMARKS 7
2.2 PRINCIPLES OF ASSET PRICING 8
2.2.1 SYSTEMATIC VERSUS UNSYSTEMATIC RISK 8
2.2.2 SINGLE-BETA PRICING MODELS 9
2.2.3 MULTI-BETA PRICING MODELS 16
2.2.3.1 EXTENSIONS OF THE SINGLE-BETA CAPM 16
2.2.3.2 ARBITRAGE PRICING MODELS 21
2.2.3.2.1 THEORETICAL BACKGROUND 21
2.2.3.2.2 PRACTICAL IMPLEMENTATION 25
2.3 PRINCIPLES OF ASSET RETURN PREDICTION 33
2.3.1 THE NOTION OF RETURN PREDICTABILITY 33
2.3.2 TERMINOLOGY AND BASIC CONCEPTS 39
2.3.2.1 ECONOMETRIC STRUCTURAL VERSUS TIME SERIES FORECASTS . 39
2.3.2.2 IN-SAMPLE VERSUS OUT-OF-SAMPLE FORECASTS 40
2.3.2.3 ONE-STEP VERSUS MULTI-STEP-AHEAD FORECASTS 42
2.3.2.4 RECURSIVE VERSUS ROLLING FORECAST WINDOWS 44
2.3.3 EVIDENCE ON THE PREDICTABILITY IN STOCK RETURNS 46
2.4 SUMMARY OF KEY IMPLICATIONS 53
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1009497588
DIGITALISIERT DURCH
IMAGE 2
VIII CONTENTS
3 HEDGE FUNDS AS AN ASSET CLASS 55
3.1 DEFINITION AND CHARACTERISTICS OF HEDGE FUNDS 55
3.2 TYPES OF HEDGE FUNDS 58
3.2.1 A CLASSIFICATION SYSTEM OF HEDGE FUNDS 58
3.2.2 RELATIVE VALUE STRATEGIES 62
3.2.2.1 EQUITY MARKET NEUTRAL 62
3.2.2.2 FIXED INCOME ARBITRAGE 63
3.2.2.3 CONVERTIBLE ARBITRAGE 65
3.2.3 EVENT-DRIVEN 67
3.2.3.1 MERGER ARBITRAGE 67
3.2.3.2 DISTRESSED SECURITIES 68
3.2.4 OPPORTUNISTIC STRATEGIES 70
3.2.4.1 GLOBAL MACRO 70
3.2.4.2 LONG/SHORT EQUITY 71
3.2.4.3 DEDICATED SHORT BIAS 73
3.2.4.4 EMERGING MARKETS 74
3.3 LITERATURE REVIEW ON HEDGE FUNDS 75
3.3.1 RETURN EXPLANATION STUDIES ON HEDGE FUNDS 75
3.3.2 RETURN PREDICTION STUDIES ON HEDGE FUNDS 89
4 POTENTIAL PREDICTOR VARIABLES FOR HEDGE FUND RETURNS 97
4.1 AN OVERVIEW OF CONCEIVABLE FACTORS AND PROXIES 97
4.2 COMMON RISK FACTORS ACROSS ALL FORECAST MODELS 105
4.3 SPECIFIC MODELS FOR RELATIVE VALUE HEDGE FUNDS 106
4.4 SPECIFIC MODELS FOR EVENT-DRIVEN HEDGE FUNDS 108
4.5 SPECIFIC MODELS FOR OPPORTUNISTIC HEDGE FUNDS 110
4.6 THE MODEL FOR FUND OF HEDGE FUNDS RETURNS 112
5 THE RETURN OF HEDGE FUNDS 113
5.1 OVERVIEW OF THE MAIN HEDGE FUND DATA VENDORS 113
5.2 BIASES IN HEDGE FUND RETURN DATA 116
5.2.1 SURVIVORSHIP BIAS 116
5.2.2 BACKFILLING BIAS 119
5.3 HETEROGENEITY IN HEDGE FUND DATA 121
5.3.1 HETEROGENEITY OF CONSTITUENTS 121
IMAGE 3
CONTENTS IX
5.3.2 HETEROGENEITY OF REPORTED RETURNS 122
5.4 CONSEQUENCES OF DATA BIASES AND HETEROGENEITY 126
5.5 THE CONSTRUCTION OF REPRESENTATIVE META INDICES 130
5.6 STATISTICAL PROPERTIES OF HEDGE FUND RETURNS 136
5.6.1 KEY PROPERTIES AND NON-NORMALITY OF RETURNS 136
5.6.2 SERIAL CORRELATION IN RETURNS 142
5.6.3 HETEROSCEDASTICITY IN RETURNS 150
6 ECONOMETRIC METHODOLOGY 157
6.1 PRELIMINARY REMARKS 157
6.2 DEALING WITH TIME-VARYING RISK EXPOSURES AND MODEL UNCERTAINTY . . .
158
6.3 DEALING WITH HETEROSCEDASTICITY 161
6.4 ROLLING RETURN PREDICTION MODEL AND REGRESSION ESTIMATION METHODS .
165
6.5 BREAK POINT RETURN PREDICTION MODEL 172
7 THE EVIDENCE OF PREDICTABILITY IN HEDGE FUND RETURNS 179
7.1 METHODS OF ASSESSING PREDICTIVE ACCURACY 179
7.2 PREDICTION ACCURACY OF THE ROLLING MODEL 184
7.2.1 RETURN PREDICTABILITY OF HEDGE FUND META INDICES 184
7.2.2 RETURN PREDICTABILITY OF HFR AND DJCS HEDGE FUND INDICES . . 189
7.3 PREDICTION ACCURACY OF THE BREAK POINT MODEL 193
7.4 SUMMARY OF KEY IMPLICATIONS 199
8 RISK EXPOSURE OF HEDGE FUNDS 201
8.1 PRELIMINARY REMARKS 201
8.2 SIGNIFICANT PREDICTORS OF HEDGE FUND META INDICES 202
8.2.1 PREDICTORS OF FOF COMPOSITE AND RELATIVE VALUE FUNDS . . . .202
8.2.2 PREDICTORS FOR EVENT-DRIVEN FUNDS 208
8.2.3 PREDICTORS FOR OPPORTUNISTIC FUNDS 210
8.3 SUMMARY OF PREDICTORS AND THEIR GENERAL IMPACT 214
8.4 SIGNIFICANT PREDICTORS OF HFR AND DJCS INDICES 218
8.5 SUMMARY OF KEY IMPLICATIONS 221
9 CONCLUSION 223
9.1 SUMMARY OF RESEARCH APPROACH AND MAIN RESULTS 223
9.2 IMPLICATIONS AND DIRECTIONS FOR FUTURE RESEARCH 225
IMAGE 4
X CONTENTS
APPENDIX 230
A EMERGING MARKETS COUNTRIES 230
B BREAK POINT MODEL PERFORMANCE 231
C M&A DEAL VALUES 233
D META INDICES AND THEIR RISK FACTORS 234
E TIME-DEPENDENT ANALYSIS OF HEDGE FUNDS' RISK EXPOSURES 235
BIBLIOGRAPHY 242 |
| any_adam_object | 1 |
| author | Wegener, Christian Alexander |
| author_GND | (DE-588)143800779 |
| author_facet | Wegener, Christian Alexander |
| author_role | aut |
| author_sort | Wegener, Christian Alexander |
| author_variant | c a w ca caw |
| building | Verbundindex |
| bvnumber | BV037278661 |
| classification_rvk | QK 530 |
| ctrlnum | (OCoLC)711860712 (DE-599)DNB1009497588 |
| dewey-full | 332.6452401519536 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6452401519536 |
| dewey-search | 332.6452401519536 |
| dewey-sort | 3332.6452401519536 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Wegener, Christian Alexander Verfasser (DE-588)143800779 aut Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks Christian Alexander Wegener Berlin Logos-Verl. 2011 XX, 260 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Aachen, Techn. Hochsch., Diss., 2011 Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Rendite (DE-588)4049459-7 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Prognosemodell (DE-588)4125215-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Hedge Fund (DE-588)4444016-9 s Rendite (DE-588)4049459-7 s Regressionsanalyse (DE-588)4129903-6 s Multivariate Analyse (DE-588)4040708-1 s Prognosemodell (DE-588)4125215-9 s b DE-604 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3649957&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021191485&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wegener, Christian Alexander Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks Regressionsanalyse (DE-588)4129903-6 gnd Rendite (DE-588)4049459-7 gnd Hedge Fund (DE-588)4444016-9 gnd Multivariate Analyse (DE-588)4040708-1 gnd Prognosemodell (DE-588)4125215-9 gnd |
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| title | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks |
| title_auth | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks |
| title_exact_search | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks |
| title_full | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks Christian Alexander Wegener |
| title_fullStr | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks Christian Alexander Wegener |
| title_full_unstemmed | Hedge fund returns an assessment of their statistical properties, predictability and exposures to economic risks Christian Alexander Wegener |
| title_short | Hedge fund returns |
| title_sort | hedge fund returns an assessment of their statistical properties predictability and exposures to economic risks |
| title_sub | an assessment of their statistical properties, predictability and exposures to economic risks |
| topic | Regressionsanalyse (DE-588)4129903-6 gnd Rendite (DE-588)4049459-7 gnd Hedge Fund (DE-588)4444016-9 gnd Multivariate Analyse (DE-588)4040708-1 gnd Prognosemodell (DE-588)4125215-9 gnd |
| topic_facet | Regressionsanalyse Rendite Hedge Fund Multivariate Analyse Prognosemodell Hochschulschrift |
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