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The fragile capital structure of hedge funds and the limits to arbitrage

✍ Scribed by Xuewen Liu; Antonio S. Mello

Book ID
113711409
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
817 KB
Volume
102
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