Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Dimitrios Stafylas and Athanasios Andrikopoulos

Research in International Business and Finance, 2020, vol. 52, issue C

Abstract: We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a switching Markov model to endogenously determine different market conditions. We find that HFs deliver positive alpha only during “good” times, irrespective of their fundamentals. During “bad” times, they minimise their systematic risk. Small and young funds, and those with redemption restrictions deliver higher alpha compared to their peers during “good” times. Finally, specific strategies deliver significantly negative alpha during “bad” times.

Keywords: Hedge funds; Hedge funds characteristics; Hedge fund performance (search for similar items in EconPapers)
JEL-codes: C58 G11 G20 G23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191930563x

DOI: 10.1016/j.ribaf.2019.101130

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