| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7780 |
| DP7780 On the Dynamics of Hedge Fund Risk Exposures | |
| Andrew Patton | |
| 发表日期 | 2010-04-12 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge fund risk exposures vary significantly across months. Our new method also reveals that hedge fund risk exposures vary within months, and capturing this variation significantly improves the fit of the model. The proposed method outperforms an optimal changepoint approach to capturing time-varying risk exposures, and we find evidence that there are gains from combining the two approaches. We find that the cost of leverage, the carry trade return and the recent performance of equity indices are the most important drivers of changes in hedge fund risk exposures. |
| 主题 | Financial Economics |
| 关键词 | Beta Performance evaluation Structural breaks Time-varying risk |
| URL | https://cepr.org/publications/dp7780 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536617 |
| 推荐引用方式 GB/T 7714 | Andrew Patton. DP7780 On the Dynamics of Hedge Fund Risk Exposures. 2010. |
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