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Time series risk factors of hedge fund investment objectives |
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| Author: | Nguyen, Kim1 |
| Organizations: |
1University of Oulu, Oulu Business School, Department of Finance, Finance |
| Format: | ebook |
| Version: | published version |
| Access: | open |
| Online Access: | PDF Full Text (PDF, 1.6 MB) |
| Pages: | 68 |
| Persistent link: | http://urn.fi/URN:NBN:fi:oulu-201311211905 |
| Language: | English |
| Published: |
Oulu :
K. Nguyen,
2013
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| Publish Date: | 2013-12-02 |
| Thesis type: | Master's thesis |
| Tutor: |
Joenväärä, Juha |
| Reviewer: |
Perttunen, Jukka Joenväärä, Juha |
| Description: |
In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.
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| Subjects: | |
| Copyright information: |
© Kim Nguyen, 2013. This publication is copyrighted. You may download, display and print it for your own personal use. Commercial use is prohibited. |