Reference : Hedge fund return specification with errors-in-variables
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/61304
Hedge fund return specification with errors-in-variables
English
Coën, Alain [Université du Québec à Montréal > Graduate School of Business > > >]
Hübner, Georges mailto [Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière >]
Desfleurs, Aurélie [Université du Québec en Outaouais - UQO > Department of Accounting > > >]
2010
Journal of Derivatives and Hedge Funds
Palgrave Macmillan
16
1
22-52
Yes (verified by ORBi)
International
1753-9641
1753-965X
[en] errors-in-variables ; measurement errors ; hedge fund performance
[en] In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not uncover systematic performance biases, but can modify estimated alphas in most cases and identifies relative persistence for directional funds in bearish market conditions. Overall, the risk premia calculated with HME remain relatively stable when compared to ordinary least squares specifications.
http://hdl.handle.net/2268/61304
10.1057/jdhf.2009.19

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Restricted access
2010 CoenHübnerDesfleurs JDHF.pdfPublisher postprint219.28 kBRequest copy

Bookmark and Share SFX Query

All documents in ORBi are protected by a user license.