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dc.contributor.authorSias, Richard
dc.contributor.authorTurtle, Harry J.
dc.contributor.authorZykaj, Blerina
dc.date.accessioned2017-11-16T21:25:09Z
dc.date.available2017-11-16T21:25:09Z
dc.date.issued2017-10-02
dc.identifier.citationHedge Fund Return Dependence: Model Misspecification or Liquidity Spirals? 2017, 52 (05):2157 Journal of Financial and Quantitative Analysisen
dc.identifier.issn0022-1090
dc.identifier.issn1756-6916
dc.identifier.doi10.1017/S0022109017000679
dc.identifier.urihttp://hdl.handle.net/10150/626073
dc.description.abstractWe test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.
dc.language.isoenen
dc.publisherCAMBRIDGE UNIV PRESSen
dc.relation.urlhttps://www.cambridge.org/core/product/identifier/S0022109017000679/type/journal_articleen
dc.rightsCopyright © Michael G. Foster School of Business, University of Washington 2017.en
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.titleHedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?en
dc.typeArticleen
dc.contributor.departmentUniv Arizona, Eller Coll Managementen
dc.identifier.journalJournal of Financial and Quantitative Analysisen
dc.description.note12 month embargo; Published online: 02 October 2017en
dc.description.collectioninformationThis item from the UA Faculty Publications collection is made available by the University of Arizona with support from the University of Arizona Libraries. If you have questions, please contact us at repository@u.library.arizona.edu.en
dc.eprint.versionFinal published versionen
html.description.abstractWe test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.


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