This document has not been cited yet.

1. Amenc, N., Martellini, L., de Chardin, T., 2003. The alpha and omega of hedge fund performance measurement.
   Paper not yet in RePEc: Add citation now
   

2. Bali, T.G. ; Brown, S.J. ; Caglayan, M.O. Macroeconomic risk and hedge fund returns. 2014 J. Financ. Econ.. 114 1-19

3. Bali, T.G. ; Brown, S.J. ; Caglayan, M.O. Systematic risk and the cross section of hedge fund returns. 2012 J. Financ. Econ.. 106 114-131

4. Blei, D.M. ; Ng, A.Y. ; Jordan, M.I. Latent dirichlet allocation. 2003 J. Mach. Learn. Res.. 3 993-1022
   Paper not yet in RePEc: Add citation now
   
5. Breiman, L. Random forests. 2001 Mach. Learn.. 45 5-32
   Paper not yet in RePEc: Add citation now
   

6. Bybee, L. ; Kelly, B.T. ; Manela, A. ; Xiu, D. Business News and Business Cycles, Technical report. 2021 National Bureau of Economic Research:

7. Cao, C. ; Chen, Y. ; Liang, B. ; Lo, A.W. Can hedge funds time market liquidity?. 2013 J. Financ. Econ.. 109 493-516

8. Chen, L., Pelger, M., Zhu, J., 2019. Deep learning in asset pricing, Res. Meth. Methodol. Account. eJournal.
   Paper not yet in RePEc: Add citation now
   

9. Coibion, O. ; Gorodnichenko, Y. ; Weber, M. Monetary policy communications and their effects on household inflation expectations. 2022 J. Polit. Econ.. 130 1537-1584

10. DeMiguel, V. ; Gil-Bazo, J. ; Nogales, F.J. ; Santos, A.P.S. Machine learning and fund characteristics help to select mutual funds with positive alpha. 2023 J. Financ. Econ.. 150 -

11. Fan, J., Tracy Ke, Z., Liao, Y., Neuhierl, A., 2022, Structural deep learning in conditional asset pricing, Available at SSRN 4117882.
    Paper not yet in RePEc: Add citation now
    

12. Fung, W. ; Hsieh, D.A. Hedge fund benchmarks: A risk-based approach. 2004 Financ. Anal. J.. 60 65-80

13. Fung, W. ; Hsieh, D.A. ; Naik, N.Y. ; Ramadorai, T. Hedge funds: Performance, risk, and capital formation. 2008 J. Financ.. 63 1777-1803

14. Giglio, S. ; Kelly, B. ; Xiu, D. Factor models, machine learning, and asset pricing. 2022 Annu. Rev. Financ. Econ.. 14 337-368

15. Goetzmann, W. ; Ingersoll, J. ; Spiegel, M. ; Welch, I. Portfolio performance manipulation and manipulation-proof performance measures. 2007 Rev. Financ. Stud.. 20 1503-1546

16. Gong, Xu. ; Guan, K. ; Chen, Q. The role of textual analysis in oil futures price forecasting based on machine learning approach. 2022 J. Futur. Mark.. 42 1987-2017

17. Gregoriou, G.N. ; Rouah, F. Large versus small hedge funds: does size affect performance?. 2002 J. Altern. Invest.. 5 75-77
    Paper not yet in RePEc: Add citation now
    

18. Gu, S. ; Kelly, B. ; Xiu, D. Autoencoder asset pricing models. 2021 J. Econ.. 222 429-450

19. Gu, S. ; Kelly, B. ; Xiu, D. Empirical asset pricing via machine learning. 2020 Rev. Financ. Stud.. 33 2223-2273

20. Hong, Y. ; Jiang, F. ; Meng, L. ; Xue, B. Forecasting inflation using economic narratives. 2024 J. Bus. Econ. Stat.. 1-27
    Paper not yet in RePEc: Add citation now
    
21. Howell, M.J. Fund age and performance. 2001 J. Altern. Invest.. 4 57-60
    Paper not yet in RePEc: Add citation now
    

22. Ibbotson, R.G. ; Chen, P. ; Zhu, K.X. The abcs of hedge funds: Alphas, betas, and costs. 2011 Financ. Anal. J.. 67 15-25

23. Jiang, J. ; Kelly, B. ; Xiu, D. (re-) imag (in) ing price trends. 2023 J. Financ.. 78 3193-3249
    Paper not yet in RePEc: Add citation now
    

24. Joenväärä, J.h. ; Kauppila, M. ; Kahra, H. Hedge fund portfolio selection with fund characteristics. 2021 J. Bank. Financ.. 132 -

25. Kacperczyk, M. ; Sialm, C. ; Zheng, Lu. Unobserved actions of mutual funds. 2008 Rev. Financ. Stud.. 21 2379-2416

26. Kaniel, R. ; Lin, Z. ; Pelger, M. ; Van Nieuwerburgh, S. Machine-learning the skill of mutual fund managers. 2023 J. Financ. Econ.. 150 94-138

27. Kapetanios, G, Kempf, F., 2022. Interpretable machine learning modeling for asset pricing, Technical report, Working paper.
    Paper not yet in RePEc: Add citation now
    

28. Kelly, B.T. ; Pruitt, S. ; Yinan, Su. Characteristics are covariances: A unified model of risk and return. 2019 J. Financ. Econ.. 134 501-524

29. Kosowski, R. ; Naik, N.Y. ; Teo, M. Do hedge funds deliver alpha? a bayesian and bootstrap analysis. 2007 J. Financ. Econ.. 84 229-264

30. Leippold, M. ; Wang, Q. ; Zhou, W. Machine learning in the chinese stock market. 2022 J. Financ. Econ.. 145 64-82

31. Levy, R. Social media, news consumption, and polarization: Evidence from a field experiment. 2021 Am. Econ. Rev.. 111 831-870

32. Lim, B. ; Arık, S.O. ; Loeff, N. ; Pfister, T. Temporal fusion trans-¨ formers for interpretable multi-horizon time series forecasting. 2021 Int. J. Forecast.. 37 1748-1764

33. Ma, T. ; Li, G. ; Zhang, H. Stock return predictability using economic narrative: Evidence from energy sectors. 2024 J. Commod. Mark.. 35 -

34. Ma, T. ; Wang, W. ; Chen, Yu. Attention is all you need: An interpretable transformer-based asset allocation approach. 2023 Int. Rev. Financ. Anal.. 90 -

35. Molnar, C., 2020. Interpretable machine learning (Lulu. com).
    Paper not yet in RePEc: Add citation now
    

36. Panopoulou, E. ; Vrontos, S. Hedge fund return predictability; to combine forecasts or combine information?. 2015 J. Bank. Financ.. 56 103-122

37. Patton, A.J. ; Ramadorai, T. On the high-frequency dynamics of hedge fund risk exposures. 2013 J. Financ.. 68 597-635

38. Ron, K. ; Zihan, L. ; Markus, P. ; Stijn, V.N. Machine-learning the skill of mutual fund managers. 2023 J. Financ. Econ.. 150 94-138
    Paper not yet in RePEc: Add citation now
    
39. Schneeweis, T. ; Kazemi, H.B. ; Martin, G.A. Understanding hedge fund performance: research issues revisited—part ii. 2003 J. Altern. Invest.. 5 8-30
    Paper not yet in RePEc: Add citation now
    
40. Shu, T., Tiwari, A., 2022. Evaluating hedge funds with machine learning-based benchmarks. SSRN Electron. J.
    Paper not yet in RePEc: Add citation now
    

41. Slavutskaya, A. Short-term hedge fund performance. 2013 J. Bank. Financ.. 37 4404-4431

42. Teo, M. ; Koh, F. ; Koh, W. Asian hedge funds: Return persistence, style, and fund characteristics. 2003 SSRN Electron. J.. -
    Paper not yet in RePEc: Add citation now
    

43. Titman, S. ; Tiu, C. Do the best hedge funds hedge?. 2011 Rev. Financ. Stud.. 24 123-168

44. Wermers, R. Mutual fund performance: An empirical decomposition into stockpicking talent, style, transactions costs, and expenses. 2000 J. Financ.. 55 1655-1695

45. Wu, W. ; Chen, J. ; Yang, Z. ; Tindall, M.L. A cross-sectional machine learning approach for hedge fund return prediction and selection. 2021 Manag. Sci.. 67 4577-4601

1. Uncertainty is bad for Business. Really?. (2021). VAUDAY, Julien ; SERRANITO, Francisco ; Himounet, Nicolas.
   In: Working Papers.
   RePEc:inf:wpaper:2021.03.

   Full description at Econpapers || Download paper

2. Monetary policy after the crisis: A threat to hedge funds alphas?. (2020). Pedio, Manuela ; Guidolin, Massimo ; Berglund, Alexander.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7.

   Full description at Econpapers || Download paper

3. Higher Co-Moment CAPM and Hedge Fund Returns. (2020). Knif, Johan ; Koutmos, Gregory.
   In: Atlantic Economic Journal.
   RePEc:kap:atlecj:v:48:y:2020:i:1:d:10.1007_s11293-020-09659-1.

   Full description at Econpapers || Download paper

4. Time series momentum and macroeconomic risk. (2020). Hutchinson, Mark C ; O'Brien, John.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301137.

   Full description at Econpapers || Download paper

5. Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; De, Maria ; Skinner, Frank S.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

   Full description at Econpapers || Download paper

6. The macroeconomic drivers in hedge fund beta management. (2020). Lambert, Marie ; Platania, Federico.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

   Full description at Econpapers || Download paper

7. Navigating through economic policy uncertainty: The role of corporate cash holdings. (2020). Nguyen, MY ; Duong, Huu Nhan ; Rhee, Ghon S.
   In: Journal of Corporate Finance.
   RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300511.

   Full description at Econpapers || Download paper

8. Bank liquidity, macroeconomic risk, and bank risk: Evidence from the Financial Services Modernization Act. (2020). Lee, Yuyi ; Liu, Yongchin ; Chen, Iju.
   In: European Financial Management.
   RePEc:bla:eufman:v:26:y:2020:i:1:p:143-175.

   Full description at Econpapers || Download paper

9. Asymmetric Network Connectedness of Fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia.
   In: Papers.
   RePEc:arx:papers:1810.12022.

   Full description at Econpapers || Download paper

10. Economic uncertainty, trading activity, and commodity futures volatility. (2019). Watugala, Sumudu.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:8:p:921-945.

    Full description at Econpapers || Download paper

11. Hedge Fund Strategies: A non-Parametric Analysis.. (2019). Canepa, Alessandra ; De, Maria ; Skinner, Frank S.
    In: Department of Economics and Statistics Cognetti de Martiis. Working Papers.
    RePEc:uto:dipeco:201902.

    Full description at Econpapers || Download paper

12. Is financial inclusion good for bank stability? International evidence. (2019). Mallick, Sushanta ; Ahamed, Mostak M.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:157:y:2019:i:c:p:403-427.

    Full description at Econpapers || Download paper

13. Upside potential of hedge funds as a predictor of future performance. (2019). Brown, Stephen ; Bali, Turan G ; Caglayan, Mustafa O.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:98:y:2019:i:c:p:212-229.

    Full description at Econpapers || Download paper

14. Asset pricing and extreme event risk: Common factors in ILS fund returns. (2019). Eling, Martin ; ben Ammar, Semir ; Braun, Alexander.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:102:y:2019:i:c:p:59-78.

    Full description at Econpapers || Download paper

15. Business cycle, expected return and momentum payoffs. (2019). Chen, Jiun-Lin ; Hwang, Hyoseok.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:29:y:2019:i:c:p:83-89.

    Full description at Econpapers || Download paper

16. Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification. (2019). Qureshi, Saba ; Khan, Habib Hussain ; Ghafoor, Abdul.
    In: Economic Systems.
    RePEc:eee:ecosys:v:43:y:2019:i:1:p:130-150.

    Full description at Econpapers || Download paper

17. Understanding stock market volatility: What is the role of U.S. uncertainty?. (2019). Yin, Libo ; Su, Zhi ; Fang, Tong.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:582-590.

    Full description at Econpapers || Download paper

18. Hedge fund returns and uncertainty. (2019). Krause, Timothy A.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:597-601.

    Full description at Econpapers || Download paper

19. Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

    Full description at Econpapers || Download paper

20. Dynamics of mutual funds and stock markets in Asian developing economies. (2019). Kutan, Ali ; Ghafoor, Abdul ; Qureshi, Zeeshan ; Khan, Habib Hussain.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818302896.

    Full description at Econpapers || Download paper

21. Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?. (2018). Bali, Turan G ; Weigert, Florian.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:27.

    Full description at Econpapers || Download paper

22. Unobserved Performance of Hedge Funds. (2018). Ruenzi, Stefan ; Agarwal, Vikas ; Weigert, Florian.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:25.

    Full description at Econpapers || Download paper

23. Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

    Full description at Econpapers || Download paper

24. Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2018). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:127:y:2018:i:3:p:417-434.

    Full description at Econpapers || Download paper

25. Hedge fund performance attribution under various market conditions. (2018). Uddin, Moshfique ; Anderson, Keith ; Stafylas, Dimitrios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

    Full description at Econpapers || Download paper

26. Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone. (2018). Anwer, Zaheer ; Ahad, Muhammad ; Hanif, Waqas ; Ur, Ijaz ; Qureshi, Fiza.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2018:v:19:i:2:ahad:rehman:qureshi:hanif:anwer.

    Full description at Econpapers || Download paper

27. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1890.

    Full description at Econpapers || Download paper

28. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1887.

    Full description at Econpapers || Download paper

29. Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2017). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1508.

    Full description at Econpapers || Download paper

30. Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:201704.

    Full description at Econpapers || Download paper

31. Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1704.

    Full description at Econpapers || Download paper

32. Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Agarwal, Vikas ; Weigert, Florian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

    Full description at Econpapers || Download paper

33. Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

    Full description at Econpapers || Download paper

34. Recent advances in explaining hedge fund returns: Implicit factors and exposures. (2017). Uddin, Moshfique ; Anderson, Keith ; Stafylas, Dimitrios.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:33:y:2017:i:c:p:69-87.

    Full description at Econpapers || Download paper

35. Macroeconomic risk and seasonality in momentum profits. (2017). Yao, Yaqiong ; Ji, Xiuqing ; Martin, Spencer J.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:36:y:2017:i:c:p:76-90.

    Full description at Econpapers || Download paper

36. Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Ismail, Izlin ; Qureshi, Fiza ; Gee, Chan Sok.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

    Full description at Econpapers || Download paper

37. Macro uncertainty and currency premia. (2016). della Corte, Pasquale ; Krecetovs, Aleksejs.
    In: 2016 Meeting Papers.
    RePEc:red:sed016:624.

    Full description at Econpapers || Download paper

38. The q-factor model and the redundancy of the value factor: An application to hedge funds. (2016). Racicot, François-Éric ; Theoret, Raymond.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:7:d:10.1057_jam.2016.22.

    Full description at Econpapers || Download paper

39. Do hedge funds dynamically manage systematic risk?. (2016). Rau, Raghavendra ; Pukthuanthong, Kuntara ; Namvar, Ethan ; Phillips, Blake.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:64:y:2016:i:c:p:1-15.

    Full description at Econpapers || Download paper

40. Realism, skill, and incentives: Current and future trends in investment management and investment performance. (2016). Agyei-Ampomah, Sam ; Skinner, Frank ; Mason, Andrew.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:43:y:2016:i:c:p:31-40.

    Full description at Econpapers || Download paper

41. Nonparametric Tail Risk, Stock Returns and the Macroeconomy. (2016). Garcia, René ; Almeida, Caio ; Ardison, Kym ; Vicente, Jose.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-20.

    Full description at Econpapers || Download paper

42. Tail risk in hedge funds: A unique view from portfolio holdings. (2015). Ruenzi, Stefan ; Agarwal, Vikas ; Weigert, Florian.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1507.

    Full description at Econpapers || Download paper

43. Volatility of aggregate volatility and hedge funds returns. (2015). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1503r.

    Full description at Econpapers || Download paper

44. Volatility of aggregate volatility and hedge funds returns. (2015). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1503.

    Full description at Econpapers || Download paper

45. Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings. (2015). Ruenzi, Stefan ; Agarwal, Vikas ; Weigert, Florian.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2015:08.

    Full description at Econpapers || Download paper

46. Economic Uncertainty and Commodity Futures Volatility. (2015). Watugala, Sumudu.
    In: Working Papers.
    RePEc:ofr:wpaper:15-14.

    Full description at Econpapers || Download paper

47. Hedge fund return predictability; To combine forecasts or combine information?. (2015). Panopoulou, Ekaterini ; Vrontos, Spyridon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:56:y:2015:i:c:p:103-122.

    Full description at Econpapers || Download paper

48. Failure Risk and the Cross-Section of Hedge Fund Returns. (2015). Kim, Jung-Min.
    In: Working Papers.
    RePEc:bok:wpaper:1513.

    Full description at Econpapers || Download paper

49. The sensitivity of Fama-French factors to economic uncertainty. (2014). Moussa, Zakaria ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01015702.

    Full description at Econpapers || Download paper

50. Macroeconomic uncertainty and the cross-section of option returns. (2014). Aramonte, Sirio.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:21:y:2014:i:c:p:25-49.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 17:04:46 || Missing content? Let us know