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Found 2 essays matching the above criteria.

1. 1. Do they always hedge? Applications of quantile regressions to risk measurement across hedge fund strategies

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Sävendahl; Oleg Pavlovskyy; [2017]
   Keywords : hedge funds; investment strategies; quantile regressions; factor exposures; risk;

   Abstract : Extending previous work on quantile regression analysis of hedge fund returns, this thesis explores risk factor exposures across performance quantiles of 22 hedge fund strategies from 1994 to 2016. Specific characteristics of hedge funds are taken into consideration. READ MORE

3. 2. Stock Herding among Swedish Mutual Fund Managers

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Sävendahl; Gustaf Håkansson; [2016]
   Keywords : Herding; Mutual Funds; Active Fund Managers;

   Abstract : The study uses new holding data from 93 Swedish equity funds with 78 distinct mutual fund managers to examine stock herding behaviour in Sweden. High levels of fund manager herding is found in the average stock when employing the method developed by Lakonishok et al. (1992). READ MORE