Hedge fund return predictability : limitations on the use of risk measures
This dissertation explores the ability of risk measures to explain cross-sectional differences in future hedge fund returns from 1994 to 2012, using two databases: Lipper TASS and Barclay Hedge. We analyse the predictive ability of total risk, skewness and kurtosis and then, using factor models, dec...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2015
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| Texto completo: | http://hdl.handle.net/10400.14/18746 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/18746 |