Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods
Stafylas, Dimitrios; Andrikopoulos, Athanasios
Dr Thanos Andrikopoulos A.Andrikopoulos@hull.ac.uk
Lecturer in Finance & Programme Director BSc Financial Management at University of Hull
We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a switching Markov model to endogenously determine different market conditions. We find that HFs deliver positive alpha only during “good” times, irrespective of their fundamentals. During “bad” times, they minimise their systematic risk. Small and young funds, and those with redemption restrictions deliver higher alpha compared to their peers during “good” times. Finally, specific strategies deliver significantly negative alpha during “bad” times.
|Journal Article Type||Article|
|Journal||Research in International Business and Finance|
|Peer Reviewed||Peer Reviewed|
|APA6 Citation||Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, https://doi.org/10.1016/j.ribaf.2019.101130|
|Keywords||Business, Management and Accounting (miscellaneous); Finance; Hedge funds; Hedge funds characteristics; Hedge fund performance|
This file is under embargo due to copyright reasons.
Contact A.Andrikopoulos@hull.ac.uk to request a copy for personal use.
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