Essays about: "capm hedge"

Found 5 essays containing the words capm hedge.

1. 1. Empirical Study on the Performance of Hedge Funds in China

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Weiwei Zhang; [2020]
   Keywords : Hedge funds; China; Performance; Persistence; Uncertainty;

   Abstract : China is one of the most popular emerging markets, and the fund management industry has experienced rapid growth during the past decade, especially private funds. Although the regulatory regimes were underdeveloped at first, the government realized that it was important to improve the related regulation to address this problem. READ MORE

3. 2. Performance of Hedge Funds in the European Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Amanda Kolobaric; Parisa Khatabakhsh; [2012]
   Keywords : Hedge funds; asset pricing models; Multi-factor model; investment strategies; performance measures.; Business and Economics;

   Abstract : The aim of this paper is to investigate the performance of hedge funds during the period between December 1999 and March 2012. We consider 8 different investment styles for the European market. As it has been argued in several papers hedge funds differ from traditional funds, since it allows for diversification and lower systematic risk. READ MORE

4. 3. The search for alpha continues. Estimating time-varying risk premia of hedge funds with a conditional model.

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Dyrssen; Jakob Gloner; [2011]
   Keywords : Abnormal Returns; Conditional Model; Hedge Funds; Principal Components; PUT Write Index; Business and Economics;

   Abstract : Numerous past studies investigating the performance of hedge funds suffer from two distinct problems: unreliable and biased return data inherent in virtually all databases and the use of static asset-pricing models. Using “indexes of indexes” for our hedge fund returns, both free of biases and highly representative, we investigate which risk factors investors are exposed to and whether hedge fund managers are able to consistently yield abnormal returns during the period February 1997 to January 2011. READ MORE

5. 4. Fundamental Fundamental Valuation: A Hunt for Abnormal Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Joel Davidsson; Johan Lilliehöök; [2008]
   Keywords : Abnormal returns; Fundamental Valuation; Residual Income Valuation; Value premium;

   Abstract : We set out to develop a valuation model and two trading strategies with the aim to generate abnormal returns. The data sample consists of the shares currently constituting the S&P100 over the time period 1988 to 2007. The model is specifically designed to avoid problems of endogeneity and circularity hitherto found in previous research. READ MORE

6. 5. Do Swedish hedge funds outperform the market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : David De Man Lapidoth; Carl-Axel Yllner; [2007]
   Keywords : Hedge funds; Time series regression; Asset pricing model; Performance measure; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : Using return data during the period February 2004 to January 2007 we examine abnormal performance for 16 Swedish hedge funds. In order to do this we estimate individual Jensen alphas employing three different asset pricing models; the CAPM, the Fama-French three-factor model and a conditional six-factor model. READ MORE