Dimitrios Stafylas
Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods
Stafylas, Dimitrios; Andrikopoulos, Athanasios
Authors
Athanasios Andrikopoulos
Abstract
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.
Citation
Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, Article 101130. https://doi.org/10.1016/j.ribaf.2019.101130
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 16, 2019 |
Online Publication Date | Nov 17, 2019 |
Publication Date | 2020-04 |
Deposit Date | Nov 21, 2019 |
Publicly Available Date | May 18, 2021 |
Journal | Research in International Business and Finance |
Print ISSN | 0275-5319 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 52 |
Article Number | 101130 |
DOI | https://doi.org/10.1016/j.ribaf.2019.101130 |
Keywords | Hedge funds; Hedge funds characteristics; Hedge fund performance |
Public URL | https://hull-repository.worktribe.com/output/3198454 |
Publisher URL | https://www.sciencedirect.com/science/article/pii/S027553191930563X |
Contract Date | Nov 22, 2019 |
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Article
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Publisher Licence URL
https://creativecommons.org/licenses/by-nc-nd/4.0/
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