Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics

El Kalak, Izidin; Azevedo, Alcino; Hudson, Robert

Abstract

© 2016 Elsevier Inc. This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Citation

El Kalak, I., Azevedo, A., & Hudson, R. (2016). Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics. International review of financial analysis, 48, 55-66. https://doi.org/10.1016/j.irfa.2016.09.006

• Acceptance Date: Dec 12, 2016
• Online Publication Date: Sep 21, 2016
• Publication Date: 2016-12
• Deposit Date: Sep 15, 2016
• Publicly Available Date: Mar 23, 2018
• Journal: International review of financial analysis
• Print ISSN: 1057-5219
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 48
• Pages: 55-66
• DOI: https://doi.org/10.1016/j.irfa.2016.09.006
• Keywords: Economics and Econometrics; Finance
• Public URL: https://hull-repository.worktribe.com/output/443166
• Publisher URL: http://www.sciencedirect.com/science/article/pii/S1057521916301296
• Additional Information: Authors' accepted manuscript of article published in: International review of financial analysis, 2016, v.48.
• Contract Date: Mar 23, 2018