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Recent advances in explaining hedge fund returns: Implicit factors and exposures

Dimitrios Stafylas, Keith Anderson and Moshfique Uddin

Global Finance Journal, 2017, vol. 33, issue C, 69-87

Abstract: We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Keywords: Hedge fund performance; Implicit factors; Statistical factors; Linear and non-linear multi-factor models; Alpha and beta returns (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:glofin:v:33:y:2017:i:c:p:69-87