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Aggregate hedge funds' flows and returns

Andrea Beltratti and Claudio Morana ()

Applied Financial Economics, 2008, vol. 18, issue 21, 1755-1764

Abstract: In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved components. The results point to strong autocorrelation in both flows and returns and to positive correlation between past returns and future flows, while the evidence concerning the linkage between past flows and future returns is mixed.

Date: 2008
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DOI: 10.1080/09603100701735979

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Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1755-1764