| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8479 |
| DP8479 On the High-Frequency Dynamics of Hedge Fund Risk Exposures | |
| Andrew Patton | |
| 发表日期 | 2011-07-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation. |
| 主题 | Financial Economics |
| 关键词 | Beta Hedge funds Mutual funds Performance evaluation Time-varying risk Window-dressing |
| URL | https://cepr.org/publications/dp8479 |
| 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/537316 |
| 推荐引用方式 GB/T 7714 | Andrew Patton. DP8479 On the High-Frequency Dynamics of Hedge Fund Risk Exposures. 2011. |
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