Measuring fund strategy and performance in changing economic conditions

WE Ferson, RW Schadt - The Journal of finance, 1996 - Wiley Online Library
The use of predetermined variables to represent public information and time‐variation has
produced new insights about asset pricing models, but the literature on mutual fund …

Risks and portfolio decisions involving hedge funds

V Agarwal, NY Naik - The Review of Financial Studies, 2004 - academic.oup.com
This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

The risk in hedge fund strategies: Theory and evidence from trend followers

W Fung, DA Hsieh - The review of financial studies, 2001 - academic.oup.com
Hedge fund strategies typically generate option-like returns. Linear-factor models using
benchmark asset indices have difficulty explaining them. Following the suggestions in, this …

Empirical characteristics of dynamic trading strategies: The case of hedge funds

W Fung, DA Hsieh - The review of financial studies, 1997 - academic.oup.com
This article presents some new results on an unexplored dataset on hedge fund
performance. The results indicate that hedge funds follow strategies that are dramatically …

Is money smart? A study of mutual fund investors' fund selection ability

L Zheng - the Journal of Finance, 1999 - Wiley Online Library
A previous study finds evidence to support selection ability among active fund investors for
equity funds listed in 1982. Using a large sample of equity funds, I find evidence that funds …

Empirical asset pricing: Models and methods

W Ferson - 2019 - books.google.com
An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …

Striking oil: another puzzle?

G Driesprong, B Jacobsen, B Maat - Journal of financial economics, 2008 - Elsevier
Changes in oil prices predict stock market returns worldwide. We find significant
predictability in both developed and emerging markets. These results cannot be explained …

Assessing specification errors in stochastic discount factor models

LP Hansen, R Jagannathan - The Journal of Finance, 1997 - Wiley Online Library
In this article we develop alternative ways to compare asset pricing models when it is
understood that their implied stochastic discount factors do not price all portfolios correctly …

Investment performance evaluation

WE Ferson - Annu. Rev. Financ. Econ., 2010 - annualreviews.org
This article provides a review of the rapidly developing literature on investment performance
evaluation. The goals are to summarize the significant forces and contributions that have …

The Halloween indicator,“sell in May and go away”: Another puzzle

S Bouman, B Jacobsen - American Economic Review, 2002 - pubs.aeaweb.org
Every year, usually in the month May, the European financial press refers to a—presumably—
old and inherited market saying:“Sell in May and go away.” 1 According to this saying, the …