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Robert L. Kosowski

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. Kosowski, Robert & Faria, Gonçalo & Wang, Tianyu, 2021. "The Correlation Risk Premium: International Evidence," CEPR Discussion Papers 16389, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sourav Majumdar & Arnab Kumar Laha, 2024. "Diffusion on the circle and a stochastic correlation model," Papers 2412.06343, arXiv.org.
    2. Martin Wallmeier, 2024. "Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 854-875, May.
    3. Wolfgang Schadner & Joshua Traut, 2022. "Estimating Forward-Looking Stock Correlations from Risk Factors," Mathematics, MDPI, vol. 10(10), pages 1-19, May.
    4. Wang, Jiqian & Ma, Feng & Wang, Tianyang & Wu, Lan, 2023. "International stock volatility predictability: New evidence from uncertainties," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).

  2. Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019. "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers 13618, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2020. "The Performance of Hedge Fund Performance Fees," Working Paper Series 2020-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    2. Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury, revised 08 Mar 2021.
    3. Ekaterini Panopoulou & Nikolaos Voukelatos, 2022. "Should hedge funds deviate from the benchmark?," Financial Management, Financial Management Association International, vol. 51(3), pages 767-795, September.

  3. Kosowski, Robert & Joenväärä, Juha & Tolonen, Pekka, 2018. "The Effect of Investment Constraints on Hedge Fund Investor Returns," CEPR Discussion Papers 12599, C.E.P.R. Discussion Papers.

    Cited by:

    1. Malakhov, Alexey & Riley, Timothy B. & Yan, Qing, 2024. "Do hedge funds bet against beta?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1507-1525.
    2. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    3. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
    4. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Is research on hedge fund performance published selectively? A quantitative survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1085-1131, September.
    5. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    6. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
    7. Spilker, Harold D., 2022. "Hedge fund family ties," Journal of Banking & Finance, Elsevier, vol. 134(C).
    8. Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019. "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers 13618, C.E.P.R. Discussion Papers.

  4. Kosowski, Robert & Joenväärä, Juha, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    2. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Is research on hedge fund performance published selectively? A quantitative survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1085-1131, September.
    3. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    4. Marohn, Marcel & Auer, Benjamin R., 2024. "A note on Steuer and Utz’s (2023) multi-objective optimization approach for generating sustainability-efficient fronts," European Journal of Operational Research, Elsevier, vol. 316(2), pages 792-797.

  5. Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005. "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers 05-14, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Mohammad (Vahid) Irani & Hugh Hoikwang Kim, 2023. "The consequences of non‐trading institutional investors," Financial Management, Financial Management Association International, vol. 52(3), pages 433-481, September.
    2. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    3. D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl, 2010. "Are Some Forecasters Really Better Than Others?," Research Technical Papers 5/RT/10, Central Bank of Ireland.
    4. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    5. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.
    6. Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 47-70, July.
    7. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
    8. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
    9. Li, Xin & Paulson, Nicholas, 2014. "Is Farm Management Skill Persistent?," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170170, Agricultural and Applied Economics Association.
    10. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    11. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    12. Alan Crane & Kevin Crotty, 2020. "How Skilled Are Security Analysts?," Journal of Finance, American Finance Association, vol. 75(3), pages 1629-1675, June.
    13. Fisher, Mark & Jensen, Mark J., 2022. "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, vol. 230(1), pages 131-153.
    14. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
    15. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
    16. Hou, Yang & Meng, Jiayin, 2018. "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper 94838, University Library of Munich, Germany.
    17. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2022. "Mutual fund performance persistence: Factor models and portfolio size," International Review of Financial Analysis, Elsevier, vol. 81(C).
    18. Lucia Milone & Paolo Pellizzari, 2009. "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers 188, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    19. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
    20. Kooli, Maher & Stetsyuk, Ivan, 2021. "Are hedge fund managers skilled?," Global Finance Journal, Elsevier, vol. 49(C).
    21. Jonathan Fletcher & Andrew Marshall, 2014. "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(1), pages 67-89, February.
    22. Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
    23. Gil-Bazo, Javier & Ruiz-Verdú, Pablo, 2006. "Yet another puzzle? the relation between price and performance in the mutual fund industry," DEE - Working Papers. Business Economics. WB wb066519, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    24. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
    25. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).
    26. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
    27. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    28. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
    29. Geoffroy Enjolras & Robert Kast & Patrick Sentis, 2009. "Diversification in Area-Yield Crop Insurance : The Multi Linear Additive Model," Working Papers 09-15, LAMETA, Universtiy of Montpellier, revised Nov 2009.
    30. Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016. "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 124-147.
    31. Konstantinov, Gueorgui S. & Fabozzi, Frank J., 2021. "Towards a dead end? EMU bond market exposure and manager performance," Journal of International Money and Finance, Elsevier, vol. 116(C).
    32. Zheng, Yao & Osmer, Eric & Bai, Yidan, 2021. "Timing market confidence in the Chinese domestic security market," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 298-311.
    33. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
    34. Zhang, Junsheng & Peng, Zezhi & Zeng, Yamin & Yang, Haisheng, 2023. "Do big data mutual funds outperform?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    35. Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
    36. Azi Ben-Rephael & Ryan D Israelsen, 2018. "Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs [An analysis of trade-size clustering and its relation to stealth trading]," Review of Finance, European Finance Association, vol. 22(5), pages 1705-1736.
    37. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "On the Industry Concentration of Actively Managed Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 60(4), pages 1983-2011, August.
    38. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    39. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.
    40. Ratanabanchuen, Roongkiat & Saengchote, Kanis, 2020. "Institutional capital allocation and equity returns: Evidence from Thai mutual funds’ holdings," Finance Research Letters, Elsevier, vol. 32(C).
    41. Ding Du & Karen Craft Denning & Xiaobing Zhao, 2014. "Market states and momentum in sector exchange-traded funds," Journal of Asset Management, Palgrave Macmillan, vol. 15(4), pages 223-237, August.
    42. Guillermo Benavides, 2021. "Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-18, Septiembr.
    43. Jonathan Fletcher & Patricia Ntozi‐Obwale, 2008. "Arbitrage Bounds and UK Unit Trust Performance," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(3‐4), pages 580-600, April.
    44. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.
    45. Yao Zheng & Eric Osmer & Liancun Zheng, 2020. "Can mutual funds time investor sentiment?," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1449-1486, May.
    46. Feng, Xunan & Johansson, Anders C., 2015. "Can mutual funds pick stocks in China? Evidence from the IPO market," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 170-186.
    47. Russ Wermers & Tong Yao & Jane Zhao, 2012. "Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3490-3529.
    48. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
    49. Adriana Gabriela Breaban & Juan Carlos Matallín-Sáez & Iván Barreda-Tarrazona & Mª Rosario Balaguer-Franch, 2012. "The demand for structured products: an experimental approach," Working Papers 2012/15, Economics Department, Universitat Jaume I, Castellón (Spain).
    50. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    51. José Manuel Cueto & Aurea Grané & Ignacio Cascos, 2020. "Models for Expected Returns with Statistical Factors," JRFM, MDPI, vol. 13(12), pages 1-17, December.
    52. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    53. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2012. "False Discoveries in UK Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 18(3), pages 444-463, June.
    54. Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
    55. Mazur, Mieszko & Salganik-Shoshan, Galla & Zagonov, Maxim, 2017. "Comparing performance sensitivity of retail and institutional mutual funds’ investment flows," Finance Research Letters, Elsevier, vol. 22(C), pages 66-73.
    56. Ioannis D Vrontos & Loukia Meligkotsidou & Spyridon D Vrontos, 2011. "Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 292-307, September.
    57. Raimonds Lieksnis, 2010. "Evaluating the Financial Performance of Latvian and Estonian Second-Pillar Pension Funds," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 2(2).
    58. Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
    59. Roongkiat Ratanabanchuen & Kanis Saengchote, 2018. "Institutional Capital Allocation and Equity Returns: Evidence from Thai Mutual Funds' Holdings," PIER Discussion Papers 97, Puey Ungphakorn Institute for Economic Research.
    60. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    61. Huaizhi Chen & Lauren Cohen & Umit G. Gurun, 2021. "Don't Take Their Word for It: The Misclassification of Bond Mutual Funds," Journal of Finance, American Finance Association, vol. 76(4), pages 1699-1730, August.
    62. Vassilios Babalos & Michael Doumpos & Nikolaos Philippas & Constantin Zopounidis, 2015. "Towards a Holistic Approach for Mutual Fund Performance Appraisal," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 35-53, June.
    63. Roberto Stein, 2022. "‘Smart’ copycat mutual funds: on the performance of partial imitation strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    64. Zhangpeng Gao & Shahidur Rahman, 2006. "A New Direction of Fund Rating Based on the Finite Normal Mixture Model," Economic Growth Centre Working Paper Series 0603, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    65. Uddin, Gazi Salah & Arreola Hernandez, Jose & Labidi, Chiraz & Troster, Victor & Yoon, Seong-Min, 2019. "The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories," Journal of Multinational Financial Management, Elsevier, vol. 52.
    66. Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011. "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
    67. Adams, John C. & Mansi, Sattar A. & Nishikawa, Takeshi, 2012. "Are mutual fund fees excessive?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2245-2259.
    68. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    69. Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
    70. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange Rate Forecasters' Performance: Evidence of Skill?," CESifo Working Paper Series 2615, CESifo.
    71. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-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.
    72. Sandeep Dahiya & David Yermack, 2018. "Investment Returns and Distribution Policies of Non-Profit Endowment Funds," NBER Working Papers 25323, National Bureau of Economic Research, Inc.
    73. Timothy B. Riley, 2021. "Portfolios of actively managed mutual funds," The Financial Review, Eastern Finance Association, vol. 56(2), pages 205-230, May.
    74. Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
    75. Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
    76. Sermpinis, Georgios & Hassanniakalager, Arman & Stasinakis, Charalampos & Psaradellis, Ioannis, 2021. "Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    77. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    78. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
    79. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
    80. Andrei Semenov, 2009. "Risk factor beta conditional value-at-risk," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 549-558.
    81. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
    82. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
    83. Lee, Jaeram & Jeon, Hyunglae & Kang, Jangkoo & Lee, Changjun, 2020. "Do actively managed mutual funds exploit stock market mispricing?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    84. Witkowska Dorota, 2012. "Measurement of the Efficiency of Mutual Funds Operating on the Pan-European Market," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 126-146, December.
    85. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
    86. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    87. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
    88. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 279-307.
    89. Stambaugh, Robert F. & Pástor, Luboš & Taylor, Lucian, 2014. "Scale and Skill in Active Management," CEPR Discussion Papers 9854, C.E.P.R. Discussion Papers.
    90. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.
    91. F. Douglas Foster & Geoffrey J. Warren, 2015. "Why Might Investors Choose Active Management?," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 16(1), pages 20-39, January.
    92. Nathaniel Light & Ivan Stetsyuk, 2022. "Puzzle solved? A comprehensive analysis of hedge fund-like mutual funds according to the value-added paradigm," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 256-275, May.
    93. Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
    94. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    95. Chen, Li-Wen & Adams, Andrew & Taffler, Richard, 2013. "What style-timing skills do mutual fund “stars” possess?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 156-173.
    96. Miguel, António F. & Chen, Yihao, 2021. "Do machines beat humans? Evidence from mutual fund performance persistence," International Review of Financial Analysis, Elsevier, vol. 78(C).
    97. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
    98. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
    99. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Other publications TiSEM e5953fbe-064e-4647-9353-0, Tilburg University, School of Economics and Management.
    100. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
    101. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
    102. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "Mutual Fund Performance: Measurement and Evidence," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(2), pages 95-187, May.
    103. Wahal, Sunil & Wang, Albert (Yan), 2011. "Competition among mutual funds," Journal of Financial Economics, Elsevier, vol. 99(1), pages 40-59, January.
    104. Yu, Hsin-Yi, 2012. "Where are the smart investors? New evidence of the smart money effect," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 51-64.
    105. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
    106. Wermers, Russ & Yao, Tong & Zhao, Jane, 2007. "The investment value of mutual fund portfolio disclosure," CFR Working Papers 06-09, University of Cologne, Centre for Financial Research (CFR).
    107. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
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Articles

  1. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
    See citations under working paper version above.
  2. Juha Joenväärä & Robert Kosowski, 2021. "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, vol. 25(1), pages 189-233.
    See citations under working paper version above.
  3. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
    See citations under working paper version above.
  4. Andrea Buraschi & Robert Kosowski & Worrawat Sritrakul, 2014. "Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas," Journal of Finance, American Finance Association, vol. 69(6), pages 2819-2870, December.

    Cited by:

    1. Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst, 2018. "Optimal fee structures in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 522-542, December.
    2. Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020. "Optimal fees in hedge funds with first-loss compensation," Journal of Banking & Finance, Elsevier, vol. 118(C).
    3. Arpit Gupta & Kunal Sachdeva, 2019. "Skin or Skim? Inside Investment and Hedge Fund Performance," NBER Working Papers 26113, National Bureau of Economic Research, Inc.
    4. Ewens, Michael & Gorbenko, Alexander & Korteweg, Arthur, 2022. "Venture capital contracts," Journal of Financial Economics, Elsevier, vol. 143(1), pages 131-158.
    5. Hugo E. Ramirez & Peter Duck & Paul V. Johnson & Sydney Howell, 2019. "Hedge-Fund Management With Liquidity Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-31, September.
    6. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    7. 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.
    8. Zhao, Li & Huang, Wenli & Ba, Shusong, 2018. "Optimal effort under high-water mark contracts," Economic Modelling, Elsevier, vol. 68(C), pages 599-610.
    9. Sotes-Paladino, Juan & Zapatero, Fernando, 2022. "Carrot and stick: A role for benchmark-adjusted compensation in active fund management," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    10. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Greg Filbeck & Timothy A. Krause & Lauren Reis, 2016. "Socially responsible investing in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 408-421, October.
    12. Jory, Surendranath & Ngo, Thanh & Susnjara, Jurica, 2017. "The effect of shareholder activism on bondholders and stockholders," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 328-344.
    13. Scheckenbach, Isabel & Wimmer, Maximilian & Dorfleitner, Gregor, 2021. "The higher you fly, the harder you try not to fall: An analysis of the risk taking behavior in social trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 239-259.
    14. Ahn, Dong-Hyun & Kim, Soohun & Seo, Kyoungwon, 2020. "Self-fulfilling arbitrages necessitate crash risk," Journal of Financial Markets, Elsevier, vol. 51(C).
    15. Yang, Tianna & Hou, Wenxuan, 2016. "Pay-performance sensitivity and risk-taking behaviors: Evidence from closed-end funds," Emerging Markets Review, Elsevier, vol. 29(C), pages 274-288.
    16. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
    17. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
    18. Zhao, Li & Huang, Wenli & Yang, Chen & Li, Shenghong, 2018. "Hedge fund leverage with stochastic market conditions," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 258-273.
    19. Emilio Barucci & Daniele Marazzina & Elisa Mastrogiacomo, 2021. "Optimal investment strategies with a minimum performance constraint," Annals of Operations Research, Springer, vol. 299(1), pages 215-239, April.
    20. Emilio Barucci & Gaetano Bua & Daniele Marazzina, 2018. "On relative performance, remuneration and risk taking of asset managers," Annals of Finance, Springer, vol. 14(4), pages 517-545, November.
    21. Koo, Minjae & Muslu, Volkan, 2023. "Fund Flows and Asset Valuations of Bond Mutual Funds: Effect of Side-by-Side Management," Journal of Banking & Finance, Elsevier, vol. 154(C).
    22. Mu, Congming & Yan, Jingzhou & Liang, Zhian, 2021. "Optimal risk taking under high-water mark contract with jump risk," Finance Research Letters, Elsevier, vol. 38(C).
    23. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    24. Judy Qiu & Leilei Tang & Ingo Walter, 2018. "Hedge fund incentives, management commitment and survivorship," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 115-142, May.
    25. Congming Mu & Jingzhou Yan & Jinqiang Yang, 2023. "Robust risk choice under high-water mark contract," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 295-322, July.

  5. Andrea Buraschi & Robert Kosowski & Fabio Trojani, 2014. "When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 581-616.

    Cited by:

    1. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    2. Braun, Matias & Riutort, Julio & Roche, Hervé, 2024. "Hedge fund fee structure and risk exposure," Economic Modelling, Elsevier, vol. 132(C).
    3. Rungmaitree, Pattamon & Boateng, Agyenim & Ahiabor, Frederick & Lu, Qinye, 2022. "Political risk, hedge fund strategies, and returns: Evidence from G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    4. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    5. 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.
    6. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    7. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
    8. 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.
    9. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2020. "Unobserved performance of hedge funds," CFR Working Papers 20-07, University of Cologne, Centre for Financial Research (CFR).
    10. Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
    11. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury, revised 02 Jun 2020.
    12. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    13. Ling, Yun & Satchell, Stephen & Yao, Juan, 2023. "Decreasing returns to scale and skill in hedge funds," Journal of Banking & Finance, Elsevier, vol. 156(C).
    14. Paul De Grauwe & Zhaoyong Zhang & Kin-Yip Ho & Yanlin Shi & Zhaoyong Zhang, 2016. "It takes two to tango: A regime-switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(1), pages 41-65, February.
    15. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    16. Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
    17. Julien Chevallier, 2020. "COVID-19 Pandemic and Financial Contagion," JRFM, MDPI, vol. 13(12), pages 1-25, December.
    18. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    19. Kosowski, Robert & Faria, Gonçalo & Wang, Tianyu, 2021. "The Correlation Risk Premium: International Evidence," CEPR Discussion Papers 16389, C.E.P.R. Discussion Papers.
    20. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
    21. Charles Chevalier & Serge Darolles, 2019. "Trends everywhere? The case of hedge fund styles," Post-Print hal-02573075, HAL.
    22. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    23. Hao Liang & Lin Sun & Melvyn Teo, 2022. "Responsible Hedge Funds [Role of managerial incentives and discretion in hedge fund performance]," Review of Finance, European Finance Association, vol. 26(6), pages 1585-1633.
    24. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    25. 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.
    26. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
    27. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
    28. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.

  6. Avramov, Doron & Barras, Laurent & Kosowski, Robert, 2013. "Hedge Fund Return Predictability Under the Magnifying Glass," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1057-1083, August.

    Cited by:

    1. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    2. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    3. Elisa Becker‐Foss, 2024. "Performance and reporting predictability of hedge funds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2257-2278, September.
    4. 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.
    5. 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.
    6. Scott Cederburg & Travis L Johnson & Michael S O’Doherty, 2023. "On the Economic Significance of Stock Return Predictability," Review of Finance, European Finance Association, vol. 27(2), pages 619-657.
    7. Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
    8. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    9. Daniel Thomson & Gary van Vuuren, 2018. "Attribution of hedge fund returns using a Kalman filter," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 1043-1058, February.
    10. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
    11. 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).
    12. Wenbo Wu & Jiaqi Chen & Zhibin (Ben) Yang & Michael L. Tindall, 2021. "A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection," Management Science, INFORMS, vol. 67(7), pages 4577-4601, July.
    13. Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
    14. Laurent Barras & Patrick Gagliardini & O. Scaillet, 2018. "The Cross-Sectional Distribution of Fund Skill Measures," Swiss Finance Institute Research Paper Series 18-66, Swiss Finance Institute.
    15. Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
    16. 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.
    17. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    18. 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.
    19. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    20. Guillermo Baquero & Marno Verbeek, 2022. "Hedge Fund Flows and Performance Streaks: How Investors Weigh Information," Management Science, INFORMS, vol. 68(6), pages 4151-4172, June.
    21. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    22. Joni Kokkonen & Matti Suominen, 2015. "Hedge Funds and Stock Market Efficiency," Management Science, INFORMS, vol. 61(12), pages 2890-2904, December.
    23. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
    24. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.

  7. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.

    Cited by:

    1. Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
    2. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    3. Chengbo Fu, 2018. "Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models," Risks, MDPI, vol. 6(4), pages 1-11, October.
    4. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    5. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
    6. Chu, Patrick Kuok-Kun, 2011. "Relationship between macroeconomic variables and net asset values (NAV) of equity funds: Cointegration evidence and vector error correction model of the Hong Kong Mandatory Provident Funds (MPFs)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 792-810.
    7. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    8. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    9. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.
    10. Scott Cederburg & Travis L Johnson & Michael S O’Doherty, 2023. "On the Economic Significance of Stock Return Predictability," Review of Finance, European Finance Association, vol. 27(2), pages 619-657.
    11. Rzakhanov, Zaur & Jetley, Gaurav, 2019. "Competition, scale and hedge fund performance: Evidence from merger arbitrage," Journal of Economics and Business, Elsevier, vol. 105(C).
    12. Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 671-692.
    13. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    14. ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
    15. 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.
    16. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
    17. Baibing Li & Ji Luo & Kai†Hong Tee, 2017. "The Market Liquidity Timing Skills of Debt†oriented Hedge Funds," European Financial Management, European Financial Management Association, vol. 23(1), pages 32-54, January.
    18. Ling, Yun & Satchell, Stephen & Yao, Juan, 2023. "Decreasing returns to scale and skill in hedge funds," Journal of Banking & Finance, Elsevier, vol. 156(C).
    19. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
    20. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers 11-084/2/DSF 23, Tinbergen Institute.
    21. Vikas Agarwal & Vyacheslav Fos & Wei Jiang, 2013. "Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings," Management Science, INFORMS, vol. 59(6), pages 1271-1289, June.
    22. Wenbo Wu & Jiaqi Chen & Zhibin (Ben) Yang & Michael L. Tindall, 2021. "A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection," Management Science, INFORMS, vol. 67(7), pages 4577-4601, July.
    23. 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.
    24. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    25. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
    26. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
    27. Agarwal, Vikas & Ray, Sugata, 2011. "Determinants and implications of fee changes in the hedge fund industry," CFR Working Papers 11-09, University of Cologne, Centre for Financial Research (CFR).
    28. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    29. Stephan Kessler & Bernd Scherer, 2013. "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 335-363, December.
    30. 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.
    31. Ramadorai, Tarun, 2013. "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 401-416.
    32. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
    33. Hong, Xin & Zhuang, Zhuang & Kang, Di & Wang, Zhibin, 2019. "Do corporate site visits impact hedge fund performance?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 113-128.
    34. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
    35. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    36. Sha Zhu & Fujun Lai & Jie Deng & Qian Wang, 2021. "Do Mutual Funds’ Exposure to Financial Stress Predict Their Future Returns? Evidence From China," SAGE Open, , vol. 11(4), pages 21582440211, October.
    37. Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
    38. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
    39. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
    40. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    41. 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.

  8. Robert Kosowski, 2011. "Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 607-664.

    Cited by:

    1. Lubos Pastor & M. Blair Vorsatz, 2020. "Mutual Fund Performance and Flows During the COVID-19 Crisis," Working Papers 2020-96, Becker Friedman Institute for Research In Economics.
    2. 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.
    3. Cao, Ying & von Reibnitz, Anna & Warren, Geoffrey J., 2020. "Return dispersion and fund performance: Australia – The land of opportunity?," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    4. Paulo Leite & Manuel Rocha Armada, 2017. "Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 163-170, March.
    5. Ľuboš Pástor & Robert F. Stambaugh & Lucian A. Taylor, 2017. "Do Funds Make More When They Trade More?," Journal of Finance, American Finance Association, vol. 72(4), pages 1483-1528, August.
    6. Dumitrescu, Ariadna & Gil-Bazo, Javier, 2018. "Market frictions, investor sophistication, and persistence in mutual fund performance," Journal of Financial Markets, Elsevier, vol. 40(C), pages 40-59.
    7. Vassilios Babalos & Michael Doumpos & Nikolaos Philippas & Constantin Zopounidis, 2015. "Towards a Holistic Approach for Mutual Fund Performance Appraisal," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 35-53, June.
    8. Reza Bradrania & Davood Pirayesh Neghab & Mojtaba Shafizadeh, 2022. "State-dependent stock selection in index tracking: a machine learning approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 1-28, March.
    9. El-Masry, Ahmed A. & de Mingo-López, Diego Víctor & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2016. "Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 174-197.
    10. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    11. Li, Zhiyong & Rao, Xiao, 2023. "Exploring the zoo of predictors for mutual fund performance in China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    12. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    13. Tariq Haque & Abdullahi D. Ahmed, 2015. "The Relationship between Australian Mutual Fund Fees and Risk-Adjusted Performance in Differing Economic Conditions," Australian Economic Papers, Wiley Blackwell, vol. 54(1), pages 1-21, March.
    14. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
    15. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2018. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Post-Print hal-02279289, HAL.
    16. Zheng Sun & Ashley W. Wang & Lu Zheng, 2016. "Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions," Finance and Economics Discussion Series 2016-030, Board of Governors of the Federal Reserve System (U.S.).
    17. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    18. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
    19. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    20. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013. "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, vol. 108(3), pages 699-726.
    21. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2017. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 363-384, June.
    22. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2016. "Does socially responsible mutual fund performance vary over the business cycle? New insights on the role of ethical strategy focus and green industry idiosyncratic risk," Working Papers 2016/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    23. Soler-Domínguez, Amparo & Matallín-Sáez, Juan Carlos, 2016. "Socially (ir)responsible investing? The performance of the VICEX Fund from a business cycle perspective," Finance Research Letters, Elsevier, vol. 16(C), pages 190-195.
    24. Huang, Jing-Zhi & Wang, Ying, 2013. "Should investors invest in hedge fund-like mutual funds? Evidence from the 2007 financial crisis," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 482-512.
    25. Andreu, Laura & Matallín-Sáez, Juan Carlos & Sarto, José Luis, 2018. "Mutual fund performance attribution and market timing using portfolio holdings," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 353-370.
    26. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
    27. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.
    28. Gbenga Ibikunle & Carmen‐Pilar Martí‐Ballester, 2022. "Can water mutual funds aid sustainable development?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1173-1190, January.
    29. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
    30. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    31. Coen, Patrick, 2021. "Information Loss over the Business Cycle," TSE Working Papers 21-1220, Toulouse School of Economics (TSE).
    32. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2016. "Ethical strategy focus and mutual fund management: performance and persistence," Working Papers 2016/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    33. Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi, 2014. "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 57-73.
    34. Ahmed El-Masry & Dalia El-Mosallamy & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2015. "Mutual Fund Performance in MENA Countries: Environmental Conditions and Fund Characteristics," Working Papers 2015/02, Economics Department, Universitat Jaume I, Castellón (Spain).
    35. Hoang, Lai T. & Tan, Eric K.M. & Yang, Joey W., 2024. "The investment behavior of China-connected mutual funds in the pandemic: Information advantage through operational link," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    36. Paulo Leite, 2024. "Performance and investment styles of international multi-asset funds during market crises," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 783-805, August.
    37. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2020. "An evaluation of Chinese securities investment fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 249-259.
    38. Wagner, Moritz & Margaritis, Dimitris, 2017. "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, vol. 33(C), pages 62-78.
    39. 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.
    40. Richard Apau & Peter Moores-Pitt & Paul-Francois Muzindutsi, 2021. "Regime-Switching Determinants of Mutual Fund Performance in South Africa," Economies, MDPI, vol. 9(4), pages 1-20, October.
    41. Chrétien, Stéphane & Kammoun, Manel, 2024. "Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    42. Fink, Christopher & Raatz, Katharina & Weigert, Florian, 2014. "Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence," Working Papers on Finance 1415, University of St. Gallen, School of Finance.
    43. Ya Dai & Liang Guo & Steve Liu & Hongxian Zhang, 2023. "Are socially responsible exchange‐traded funds paying off in performance?," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 4-26, March.
    44. Leite, Paulo & Cortez, Maria Céu, 2015. "Performance of European socially responsible funds during market crises: Evidence from France," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 132-141.
    45. Jitmaneeroj, Boonlert, 2023. "Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    46. Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
    47. Doron Avramov & Si Cheng & Allaudeen Hameed, 2020. "Mutual Funds and Mispriced Stocks," Management Science, INFORMS, vol. 66(6), pages 2372-2395, June.
    48. Chen, Jie & Lasfer, Meziane & Song, Wei & Zhou, Si, 2021. "Recession managers and mutual fund performance," Journal of Corporate Finance, Elsevier, vol. 69(C).
    49. Hooi Hooi Lean & Fabio Pizzutilo, 2021. "Performances and risk of socially responsible investments across regions during crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3556-3568, July.
    50. Brown, Stephen J. & Sotes-Paladino, Juan & Wang, Jiaguo(George) & Yao, Yaqiong, 2017. "Starting on the wrong foot: Seasonality in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 133-150.
    51. Dong, Feng & Doukas, John A., 2021. "Managerial ability premium factor and fund performance," Journal of International Money and Finance, Elsevier, vol. 113(C).

  9. Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, vol. 84(1), pages 229-264, April.

    Cited by:

    1. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    2. Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2020. "The Performance of Hedge Fund Performance Fees," Working Paper Series 2020-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    4. 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.
    5. Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    6. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2010. "Caught in the act: How hedge funds manipulate their equity positions," CFR Working Papers 10-15, University of Cologne, Centre for Financial Research (CFR).
    7. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
    8. Menghai Gao & Yuan Ji & Oded Rozenbaum, 2022. "When Do Associate Analysts Matter?," Management Science, INFORMS, vol. 68(5), pages 3925-3948, May.
    9. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
    10. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
    11. Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
    12. Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
    13. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
    14. Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
    15. John Weirstrass Muteba Mwamba, 2017. "An Empirical Evaluation of Hedge Fund Managerial Skills using Bayesian Techniques," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(1), pages 63-82.
    16. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
    17. Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016. "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 124-147.
    18. Zheng, Yao & Osmer, Eric & Bai, Yidan, 2021. "Timing market confidence in the Chinese domestic security market," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 298-311.
    19. Funga, William & Hsiehb, David A., 2013. "Hedge Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1063-1125, Elsevier.
    20. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    21. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
    22. Chen, Honghui & Kumar, Alok & Lu, Yan & Singh, Ajai, 2022. "Do Hedge Fund Managers Understand Politics? Political Sensitivity and Investment Skill," Journal of Banking & Finance, Elsevier, vol. 135(C).
    23. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    24. Zheng, Yao & Osmer, Eric & Zu, Dingding, 2024. "Timing sentiment with style: Evidence from mutual funds," Journal of Banking & Finance, Elsevier, vol. 164(C).
    25. Momtchil Pojarliev & Richard M. Levich, 2008. "Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers," NBER Working Papers 14355, National Bureau of Economic Research, Inc.
    26. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.
    27. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
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  10. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
    See citations under working paper version above.

Books

  1. Kosowski, Robert & Neftci, Salih N., 2014. "Principles of Financial Engineering," Elsevier Monographs, Elsevier, edition 3, number 9780123869685.

    Cited by:

    1. Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
    2. Juhasz, Peter & Varadi, Kata & Vidovics-Dancs, Agnes & Szaz, Janos, 2017. "Measuring Path Dependency," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(1), pages 29-37.
    3. Cocozza, Rosa & De Simone, Antonio, 2011. "One numerical procedure for two risk factors modeling," MPRA Paper 30859, University Library of Munich, Germany.
    4. Gola, Carlo & Ilari, Antonio, 2015. "Financial innovation oversight: a policy framework," Journal of Financial Perspectives, EY Global FS Institute, vol. 3(1), pages 59-100.
    5. , Aisdl, 2014. "Nhập môn toán tài chính," OSF Preprints mu8th, Center for Open Science.
    6. Mark Setterfield & Bill Gibson, 2013. "Real and financial crises: A multi-agent approach," Working Papers 1309, Trinity College, Department of Economics, revised Jul 2014.
    7. Taurai Muvunza & Yong Jiang, 2023. "Determinants and hedging effectiveness of China's sovereign credit default swaps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2074-2087, April.
    8. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
    9. Pilar Valencia-DeLara & Alberto Ramírez-Ceballos, 2012. "A tool applicable to the payment of credits for projects of agricultural crops with different income levels," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 58(5), pages 231-221.
    10. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
    11. Salazar Celis, Oliver & Liang, Lingzhi & Lemmens, Damiaan & Tempère, Jacques & Cuyt, Annie, 2015. "Determining and benchmarking risk neutral distributions implied from option prices," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 372-387.
    12. Richard W. Booser, 2018. "An Algorithm Exploiting Episodes of Inefficient Asset Pricing to Derive a Macro-Foundation Scaled Metric for Systemic Risk: A Time-Series Martingale Representation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-3.
    13. Gangadhar Nayak & Subhranshu Sekhar Tripathy & Agbotiname Lucky Imoize & Chun-Ta Li, 2024. "Application of Extended Normal Distribution in Option Price Sensitivities," Mathematics, MDPI, vol. 12(15), pages 1-18, July.
    14. Onour, Ibrahim, 2011. "الخيارات وإدارة المخاطر فى أسواق السلع: دعوة لرؤية جديدة [Options as Islamic Financial Derivative: Thoughts provoking discussion]," MPRA Paper 30707, University Library of Munich, Germany.

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