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Systematic risk and the cross section of hedge fund returns

✍ Scribed by Turan G. Bali; Stephen J. Brown; Mustafa Onur Caglayan


Book ID
119296439
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
415 KB
Volume
106
Category
Article
ISSN
0304-405X

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Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features wit