کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726738 | 1479361 | 2005 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An empirical analysis of hedge fund performance: The case of Australian hedge funds industry
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study empirically investigates the performance of Australian hedge funds by extending and modifying [Capocci, D., Hubner, G., 2004. Analysis of hedge funds performance. Journal of Empirical Finance 11, 55-89]. model. This model performs better in explaining Australian hedge fund returns than the traditional Fama and French three-factor model. The results show that Australian hedge fund returns have low correlation with market indexes and also outperform standard market index returns. We also observe that Australian hedge fund returns are positively related to incentive fees and negatively related to management fees. Further, managers do not have any significant market timing skill and market conditions do not significantly influence hedge fund performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 15, Issues 4â5, October 2005, Pages 377-393
Journal: Journal of Multinational Financial Management - Volume 15, Issues 4â5, October 2005, Pages 377-393
نویسندگان
Viet Do, Robert Faff, J. Wickramanayake,