Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns.TuranG.BaliStephenJ.BrownMustafaO.CaglayanEBSCO_bspJournal of Financial EconomicsBali, T. G., S. J. Brown, and M. O. Caglayan, 2014, "Macroeconomic Risk and Hedge Fund ...
In addition, macroeconomic indicators have significant effects on stock returns (Dellas and Hess2005; Lim and Kim2011; Lim and Sek2014; Rizwan and Khan2007). However, only one recent study investigates the impact of macroeconomic indicators on stock market risk across Vietnamese sectors (see Bui ...
The results are discussed at a general level, at the level of the macroeconomic variables and at the sector level. Keywords: stock returns; uncertainty; risk factors; surveys 1. Introduction Macroeconomic variables play an important role in financial markets as they determine the state of the ...
The US Federal Reserve’s (Fed’s) actions influence the global economy, arguably including crypto markets. Low interest rates increase appetite for assets with higher risk and higher returns. In reaction to the decline in economic activity as a result of the Great Recession ...
The rules on position reporting of large security-based swap positions on single, index debt or equity securities and loans are intended to promote transparency, protect market integrity, and decrease contagion risk in the market to assist the SEC in ide...
Two main measures were taken: (i) the issuance of exchange rate linked bonds was diminished; (ii) the investor base was diversified and expanded, attracting more domestic and mainly foreign bondholders, contributing to the improvement in systemic risk perception. In another line of research, ...
O. (2014). Macroeconomic risk and hedge fund returns. Journal of Financial Economics, 114, 1-19.Bali, Turan, Stephen Brown, and Mustafa Caglayan, 2014, Macroeconomic risk and hedge fund returns, Journal of Financial Economics 114, 1-19....
However, the nature of the influence as determining factors for the risk/ return profiles of hedge fund strategies and their benefit for tactical strategy allocation (TSA) have only been fractionally discussed in the academic world. This study highlights the non-linear influence of macroeconomic ...
Risk related to return higher moments is usually perceived as substantial in the hedge fund industry. In this article, we relate the return co-skewness and co-kurtosis of hedge fund strategies to macroeconomic and financial shocks. We find that hedge funds' return higher moments are quite ...
We implement a multifactor model to estimate the unobservable time-varying risk exposure conditional on macroeconomic information and a VAR to measure the impact of macroeconomic predictors on different time horizons. Using monthly returns on a cross-section of 10 different style indices from February ...