IDEAS home Printed from https://ideas.repec.org/e/pca112.html
   My authors  Follow this author

Daniel P.J. Capocci

(We have lost contact with this author. Please ask them to update the entry or send us the correct address or status for this person. Thank you.)

Personal Details

First Name:Daniel
Middle Name:P.J.
Last Name:Capocci
Suffix:
RePEc Short-ID:pca112
The above email address does not seem to be valid anymore. Please ask Daniel P.J. Capocci to update the entry or send us the correct address or status for this person. Thank you.
http://homepage.internet.lu/capoccidaniel/
13, rue du 5 Septembre 6747 Saint-Leger Belgium
+352/4797.4188

Affiliation

HEC École de Gestion
Université de Liège

Liège, Belgium
http://www.hec.ulg.ac.be/
RePEc:edi:feulgbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Capocci Daniel & Corhay Albert & Hübner Georges, 2004. "Hedge Fund Performance and Persistence in Bull and Bear Markets," Finance 0402018, University Library of Munich, Germany.
  2. Daniel Capocci, 2002. "An Analysis of Hedge Fund Performance," Finance 0210001, University Library of Munich, Germany.

Articles

  1. Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.
  2. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
  3. Daniel Capocci & Albert Corhay & Georges Hubner, 2005. "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 361-392.
  4. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  5. Daniel Capocci & Romain Mahieu, 2003. "Les Fonds alternatifs sont-ils réellement décorrelés des produits d'investissments classiques?," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(2), pages 83-110.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Capocci Daniel & Corhay Albert & Hübner Georges, 2004. "Hedge Fund Performance and Persistence in Bull and Bear Markets," Finance 0402018, University Library of Munich, Germany.

    Cited by:

    1. Moura, Marcelo & Joaquim, Gustavo P., 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Insper Working Papers wpe_234, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1423-1433, August.
    3. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    4. Mercedes Alda, 2021. "The dilemma between fund‐style consistency and active management over the economic cycle. Evidence from pension funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2219-2240, April.
    5. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Detecting performance persistence of hedge funds," Economic Modelling, Elsevier, vol. 47(C), pages 185-192.
    6. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
    7. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    8. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    9. Rania Hentati-Kaffel & Philippe de Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00984777, HAL.
    10. Rania Hentati-Kaffel & Philippe de Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Working Papers hal-00984777, HAL.
    11. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    12. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    13. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    14. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "A new efficiency test for ranking investments: Application to hedge fund performance," Economics Letters, Elsevier, vol. 181(C), pages 203-207.
    15. Anastasia Petraki & Anna Zalewska, 2013. "With whom and in what is it better to save? Personal pensions in the UK," The Centre for Market and Public Organisation 13/304, The Centre for Market and Public Organisation, University of Bristol, UK.
    16. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
    17. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    18. Bebel, Arkadiusz, 2014. "Low Versus High Leverage (LVH)," MPRA Paper 62889, University Library of Munich, Germany, revised 08 Nov 2014.
    19. María dela O. González & Nicolas A. Papageorgiou & Frank S. Skinner, 2016. "Persistent Doubt: An Examination of Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 22(4), pages 613-639, September.
    20. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    21. Yao Zheng & Eric Osmer, 2018. "The Relationship between Hedge Fund Performance and Stock Market Sentiment," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-29, September.
    22. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
    23. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.
    24. Ewelina Sokołowska, 2017. "Does growing wealth influence hedge funds’ development? An empirical analysis," Applied Economics, Taylor & Francis Journals, vol. 49(8), pages 756-768, February.
    25. Jiong Gong & Ping Jiang & Shu Tian, 2016. "Contractual mutual fund governance: the case of China," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 543-567, April.
    26. Costas Siriopoulos & Maria Skaperda, 2020. "Investing in mutual funds: are you paying for performance or for the ties of the manager?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 153-164.
    27. Khaled Guesmi & Saoussen Jebri & Abdelkarim Jabri & Frédéric Teulon, 2014. "Are hedge funds uncorrelated with financial markets? An empirical assessment," Working Papers 2014-103, Department of Research, Ipag Business School.
    28. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
    29. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    30. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    31. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
    32. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
    33. Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & E. Wallerstein, 2011. "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB 11-041, ULB -- Universite Libre de Bruxelles.
    34. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814, HAL.
    35. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    36. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
    37. Laurent Bodson & Alain Coën & Georges Hübner, 2010. "Dynamic Hedge Fund Style Analysis With Errors‐In‐Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 201-221, September.

  2. Daniel Capocci, 2002. "An Analysis of Hedge Fund Performance," Finance 0210001, University Library of Munich, Germany.

    Cited by:

    1. Thonifho Pollen Muridili & Ruschelle Sgammini & Sune Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane, 2022. "The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 133-144, November.
    2. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
    3. Gökçe Soydemir & Jan Smolarski & Sangheon Shin, 2014. "Hedge funds, fund attributes and risk adjusted returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 133-149, January.
    4. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Keith Elliott & Gianluca Marcato, 2011. "Alternative investments: return driving actors," ERES eres2011_151, European Real Estate Society (ERES).
    6. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
    7. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    8. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(4), December.
    9. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
    10. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    11. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
    12. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    13. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
    14. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
    15. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    16. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    17. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    18. Robert J. Bianchi & Michael E. Drew & Thanula R. Wijeratne, 2010. "Systemic Risk, the TED Spread and Hedge Fund Returns," Discussion Papers in Finance finance:201004, Griffith University, Department of Accounting, Finance and Economics.
    19. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016. "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance 1621, University of St. Gallen, School of Finance.
    20. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    21. Peltomäki, Jarkko, 2008. "Emerging market hedge funds and the yen carry trade," Emerging Markets Review, Elsevier, vol. 9(3), pages 220-229, September.
    22. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    23. Muteba Mwamba, John, 2014. "Another reason why the efficient market hypothesis is fuzzy," MPRA Paper 64383, University Library of Munich, Germany.
    24. Asif, Raheel & Frömmel, Michael & Mende, Alexander, 2022. "The crisis alpha of managed futures: Myth or reality?," International Review of Financial Analysis, Elsevier, vol. 80(C).
    25. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
    26. Leal, Laura Simonsen & Almeida, Caio, 2017. "An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
    27. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
    28. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, University of Reading.
    29. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
    30. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
    31. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
    32. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2010. "Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation," Journal of Finance, American Finance Association, vol. 65(1), pages 217-255, February.
    33. Marcus Deetz, 2019. "K-Means Clustering of Self-Organizing Maps: An Empirical Study on the Information Content of Self-Classification of Hedge Fund Managers," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 5(3), pages 43-57, March.
    34. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    35. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    36. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
    37. Steri, Roberto & Giorgino, Marco & Viviani, Diego, 2009. "The Italian hedge funds industry: An empirical analysis of performance and persistence," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 75-91, February.
    38. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
    39. David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020. "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series 20-82, Swiss Finance Institute, revised May 2023.
    40. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    41. Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008. "Is There Hedge Fund Contagion?," Working Papers 08-2, University of Pennsylvania, Wharton School, Weiss Center.
    42. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    43. Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
    44. Jordão, Gustavo A. & Moura, Marcelo L., 2011. "Performance Analysis of Brazilian Hedge Funds," Insper Working Papers wpe_236, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    45. Alexander Carlo & Piet Eichholtz & Nils Kok & Ruud Wijnands, 2023. "Pension fund investments in infrastructure," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 329-345, September.
    46. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
    47. Muteba Mwamba, John, 2013. "Posterior outperformance, selectivity and market timing skills in hedge funds: do they persist altogether?," MPRA Paper 64388, University Library of Munich, Germany.
    48. Coën, Alain & Hübner, Georges, 2009. "Risk and performance estimation in hedge funds revisited: Evidence from errors in variables," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 112-125, January.
    49. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
    50. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
    51. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
    52. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
    53. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    54. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
    55. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
    56. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
    57. ter Horst, J.R. & Verbeek, M.J.C.M., 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," ERIM Report Series Research in Management ERS-2004-104-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    58. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    59. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    60. Perez Katarzyna, 2014. "Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 179-197, December.
    61. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
    62. Mark C. Hutchinson & Liam A. Gallagher, 2010. "Convertible Bond Arbitrage: Risk and Return," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 206-241, January.
    63. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
    64. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
    65. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    66. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
    67. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    68. Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
    69. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    70. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
    71. Henn Overbeck, Jacqueline & Meier, Iwan, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
    72. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
    73. Manuel Ammann & Otto Huber & Markus Schmid, 2013. "Hedge Fund Characteristics and Performance Persistence," European Financial Management, European Financial Management Association, vol. 19(2), pages 209-250, March.
    74. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
    75. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
    76. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814, HAL.
    77. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    78. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    79. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
    80. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    81. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
    82. Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael, 2003. "Further Evidence on Hedge Funds Performance," Finance Working Papers 03-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    83. Muteba Mwamba, John, 2012. "On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model," MPRA Paper 50323, University Library of Munich, Germany.
    84. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.
    85. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
    86. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.

Articles

  1. Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    4. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    5. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    6. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

  2. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.

    Cited by:

    1. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
    2. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
    3. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.

  3. Daniel Capocci & Albert Corhay & Georges Hubner, 2005. "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 361-392.
    See citations under working paper version above.
  4. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (1) 2002-10-18
  2. NEP-FMK: Financial Markets (1) 2002-10-18
  3. NEP-IFN: International Finance (1) 2002-10-18

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Daniel P.J. Capocci should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.