Do hedge funds' exposures to risk factors predict their future returns?

• 成果类型: Article
• 署名作者: Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur
• 署名单位: Georgetown University; New York University; Ozyegin University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.008
• 发表日期: 2011
• 页码: 36-68
• 关键词: HEDGE FUNDS; Return predictability; Risk factors

摘要

This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and non-parametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and after controlling for market, size, book-to-market, and momentum factors as well as the trend-following factors in stocks, short-term interest rates, currencies, bonds, and commodities. The paper also provides macro-level and micro-level explanations of our findings. (C) 2011 Elsevier B.V. All rights reserved.