Determinants of the Nordic hedge fund performance
Abstract
Hedge funds have become an important part of the financial sector. The development of the hedge funds in the Nordic countries has been rather robust. Therefore, it is important to identify the determinants of the hedge fund performance and isolate the managerial performance, i.e., the Jensen’s alpha. To this end, this paper construct cross sectional and panel model for the Nordic hedge funds over 2005–2018. The Fung-Hsieh 8-factor model and other models are developed to identify the determinants of the Nordic hedge fund performance. The effects of crises of different nature (local to global, hedge funds to banking sector) are also tested. The results indicate that Nordic hedge funds are capable to generate positive alpha during the crisis even exceeding the alpha of the economically stable time periods.
Keyword : hedge funds, Nordic countries, asset pricing, panel models, crisis variable, risk factors
How to Cite
Kolisovas, D., Giriūnienė, G., Baležentis, T., Štreimikienė, D., & Morkūnas, M. (2022). Determinants of the Nordic hedge fund performance. Journal of Business Economics and Management, 23(2), 426–450. https://doi.org/10.3846/jbem.2022.16170
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
Adrian, T., Fleming, M., Shachar, O., & Vogt, E. (2017). Market liquidity after the financial crisis. Annual Review of Financial Economics, 9, 43–83. https://doi.org/10.1146/annurev-financial-110716-032325
Agarwal, V., & Naik, N. Y. (2004). Risks and portfolio decisions involving hedge funds. Review of Financial Studies, 17(1), 63–98. https://doi.org/10.1093/rfs/hhg044
Agarwal, V., Green, T. C., & Rena, H. (2018). Alpha or beta in the eye of the beholder: What drives hedge fund flows? Journal of Financial Economics, 127(3), 417–434. https://doi.org/10.1016/j.jfineco.2018.01.006
Alliance Bernstein. (2012). Rooting Out Biases in Hedge-Fund Data. https://blog.alliancebernstein.com/post/en/2012/12/rooting-out-biases-in-hedge-fund-data
Almeida, C., Ardison, K., & Garcia, R. (2020). Nonparametric assessment of hedge fund performance. Journal of Econometrics, 214(2), 349–378. https://doi.org/10.1016/j.jeconom.2019.08.002
Ardia, D., & Boudt, K. (2018). The peer performance ratios of hedge funds. Journal of Banking and Finance, 87(C), 351–368. https://doi.org/10.1016/j.jbankfin.2017.10.014
Babecký, J., Havráneka, T., Matˇej˚u, J., Rusnáka, M., Smídková, K., & Vašíček, B. (2014). Banking, debt, and currency crises in developed countries: Stylizedfacts and early warning indicators. Journal of Financial Stability, 15, 1–17. https://doi.org/10.1016/j.jfs.2014.07.001
Berglund, A., Guidolin, M. & Pedio, M. (2018). Monetary policy after the crisis: Threat or opportunity to hedge funds’ alphas? (BAFFI CAREFIN Centre Research Paper No. 2018-84). https://doi.org/10.2139/ssrn.3225600
Bernard, C., Vanduffel, S., & Ye, J. (2019). A new efficiency test for ranking investments: Application to hedge fund performance. Economics Letters, 181, 203–207. https://doi.org/10.1016/j.econlet.2019.05.023
Bohl, M. T., Siklos, P. L., Stefan, M., & Wellenreuther, C. (2020). Price discovery in agricultural commodity markets: Do speculators contribute? Journal of Commodity Markets, 18, 100092. https://doi.org/10.1016/j.jcomm.2019.05.001
Canepa, A., González, M., & Skinner, F. S. (2020). Hedge fund strategies: A non-parametric analysis. International Review of Financial Analysis, 67, 101436. https://doi.org/10.1016/j.irfa.2019.101436
Cao, Ch., Liang, B., Lo, A. W., & Petrasek, L. (2018). Hedge fund holdings and stock market efficiency. The Review of Asset Pricing Studies, 8(1), 77–116. https://doi.org/10.1093/rapstu/rax015
Capocci, D., Corhay, A., & Hubner, G. (2005). Hedge fund performance and persistence in bull and bear markets. The European Journal of Finance, 11(5), 361–392. https://doi.org/10.1080/1351847042000286676
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
Chen, Y., Sun, J., Xu, W., & Jin, H. (2019). Empirical test of CAPM in Shanghai securities market. Finance, 9(1), 28–33. https://doi.org/10.12677/FIN.2019.91004
Denk, K., Djerroud, B., Seco, L., Shakourifar, M., & Zagso, R. (2020). Option-like properties in the distribution of hedge fund returns. Frontiers of Engineering Management, 7(2), 275–286. https://doi.org/10.1007/s42524-020-0095-3
Dewaele B., Pirotte, H., Tuchschmid, N., & Wallerstein, E. (2015). Assessing the performance of Funds of Hedge Funds (Working Papers CEB 11-041). Universite Libre de Bruxelles.
Dixon, L., Clancy, N., & Kumar, K. B. (2012). Hedge funds and systemic risk. RAND Corporation, Santa Monica, CA. https://www.rand.org/pubs/monographs/MG1236.html
Do, V., Faff, R., & Wickramanayake, J. (2005). An empirical analysis of hedge fund performance: The case of Australian hedge funds industry. Journal of Multinational Financial Management, 15(4–5), 377–393. https://doi.org/10.1016/j.mulfin.2005.04.006
Dou, W., Kogan, L., & Wu, W. (2021). Common fund flows: Flow hedging and factor pricing (Jacobs Levy Equity Management Center for Quantitative Financial Research Paper). https://doi.org/10.2139/ssrn.3543675
Duanmu, J., Li, Y., & Malakhov, A. (2020). Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs. The Financial Review, 55(3), 405–431. https://doi.org/10.1111/fire.12221
Edelman, D., Fung, W., Hsieh, D. A., & Naik, N. Y. (2012). Funds of hedge funds: Performance, risk and capital formation 2005 to 2010. Financial Markets and Portfolio Management, 26(1), 87–108. https://doi.org/10.1007/s11408-011-0180-z
Estrada, J. (2021). No hedge funds, no cry. https://doi.org/10.2139/ssrn.3807815
Evestment. (2018) Hedge fund exposure and tail risk industry report. https://www.evestment.com/resources/research-reports
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fung, W., & Hsieh, D. A. (1997). Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies, 10(2), 275–302. https://doi.org/10.1093/rfs/10.2.275
Fung, W., & Hsieh, D. A. (2001). The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. Review of Financial Studies, 14(2), 313–341. https://doi.org/10.1093/rfs/14.2.313
Fung, W., & Hsieh, D. A. (2004). Hedge fund benchmarks: A risk-based approach. Financial Analysts Journal, 60(5), 65–80. https://doi.org/10.2469/faj.v60.n5.2657
Gregoriou, G. N., Racicot, F. É., & Théoret, R. (2021). The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. Economic Modelling, 94, 843–872. https://doi.org/10.1016/j.econmod.2020.02.025
Grinblatt, M., Jostova, G., Petrasek, L., & Philipov, A. (2020). Style and skill: Hedge funds, mutual funds, and momentum. Management Science, 66(12), 5505–5531. https://doi.org/10.1287/mnsc.2019.3433
Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50(3), 1029–1054. https://doi.org/10.2307/1912775
Helliwell, J. F., Layard, R., Sachs, J. D., De Neve, J. E., Aknin, L. B., & Wang, S. (2021). World Happiness Report. United Nations Program. https://happiness-report.s3.amazonaws.com/2021/WHR+21.pdf
Hespeler, F., & Loiacono, G. (2015). Monitoring systemic risk in the hedge fund sector (ESMA Working Paper, 2). https://www.esma.europa.eu/sites/default/files/library/esma_wp-2015-2_working_paper_no.2_2015_monitoring_systemic_risk_in_the_hedge_fund_sector.pdf
Joenväärä, J., Kauppila, M., Kosowski, R., & Tolonen, P. (2019). Hedge fund performance: Are stylized facts sensitive to which database one uses? (Critical Finance Review). https://ssrn.com/abstract=3359325
Kang, B. U., Kim, J. M., Palmon, O., & Zhong, Z. (2020). Are college education and job experience complements or substitutes? Evidence from hedge fund portfolio performance. Review of Quantitative Finance and Accounting, 54(4), 1247–1278. https://doi.org/10.1007/s11156-019-00824-5
Kanuri, S. (2020). Hedge fund performance in Japan. Review of Pacific Basin Financial Markets and Policies, 23(3), 2050023. https://doi.org/10.1142/S021909152050023X
Kolisovas, D. (2021a). Secrets of long livers: Crisis alpha. In Nordic hedge fund industry report 2021 (pp. 48–53). https://hedgenordic.com/wp-content/uploads/2021/03/HNIR2021.pdf
Kolisovas, D. (2021b). In the Face of COVID-19: Unusual crisis performance, Finding Alpha in Equities, (pp. 38–43). https://hedgenordic.com/wp-content/uploads/2021/05/Equities_2021.pdf
Liang, B., & Qiu, L. (2019). Hedge fund leverage: 2002–2017. European Financial Management, 25(4), 908–941. https://doi.org/10.1111/eufm.12202
Mensi, W., Shafiullah, M., Vo, X. V., & Kang, S. H. (2021). Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. Resources Policy, 71, 102002. https://doi.org/10.1016/j.resourpol.2021.102002
Metzger, N., & Shenai, V. (2019). Hedge fund performance during and after the crisis: A comparative analysis of strategies 2007–2017. International Journal of Financial Studies, 7(1), 15. https://doi.org/10.3390/ijfs7010015
Oueslati, A., & Hammami, Y. (2018). Forecasting stock returns in Saudi Arabia and Malaysia. Review of Accounting and Finance, 17(2), 259–279. https://doi.org/10.1108/RAF-05-2017-0089
Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685. https://doi.org/10.1086/374184
Racicot, F. E. (2015). Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note. Applied Economics, 47(10), 981–989. https://doi.org/10.1080/00036846.2014.985373
Racicot, F. E., & Théoret, R. (2016). Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. Journal of Banking & Finance, 62, 41–61. https://doi.org/10.1016/j.jbankfin.2015.10.004
Racicot, F. É., & Théoret, R. (2019). Hedge fund return higher moments over the business cycle. Economic Modelling, 78, 73–97. https://doi.org/10.1016/j.econmod.2018.08.016
Racicot, F. E., Rentz, W. F., & Théoret, R. (2018). Testing the new Fama and French factors with illiquidity: A panel data investigation. Finance, 39(3), 45–102. https://doi.org/10.3917/fina.393.0045
Racicot, F. E., Théoret, R., & Gregoriou, G. N. (2021). The response of hedge fund higher moments risk to macroeconomic and illiquidity shocks. International Review of Economics and Finance, 73, 289–318. https://doi.org/10.1016/j.iref.2020.12.004
Robertson, J. (2018). Replica localization in East Asia: The case of the Asian hedge fund industry. Globalizations, 15(3), 407–421. https://doi.org/10.1080/14747731.2018.1424286
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. https://doi.org/10.1016/0022-0531(76)90046-6
Siegel, J. J. (2005). The Future for Investors: Why the tried and the true triumph over the bold and the new. Crown Publishing.
Stafylas, D., Anderson, K., & Uddin, M. (2018). Hedge fund performance attribution under various market conditions. International Review of Financial Analysis, 56, 221–237. https://doi.org/10.1016/j.irfa.2018.01.006
Sung, S., Chun, D., Cho, H., & Ryu, D. (2020). Hedge fund market runs during financial crises. Economic Research-Ekonomska Istraživanja, 34(1), 266–291. https://doi.org/10.1080/1331677X.2020.1782245
Swartz, L. M., & Emami-Langroodi, F. (2018). Relative Value Hedge Funds: A behavioral modeling of hedge fund risk and return factors. Journal of Behavioral Finance, 19(4), 462–482. https://doi.org/10.1080/15427560.2018.1434654
Teo, M. (2009). The geography of hedge funds. Review of Financial Studies, 22(9), 3531–3561. https://doi.org/10.1093/rfs/hhp007
Van Dyk, F., Van Vuuren, G., & Heymans, A. (2014). Hedge fund performance using scaled Sharpe and Treynor measures. International Business & Economics Research Journal (IBER), 13(6), 1261–1300. https://doi.org/10.19030/iber.v13i6.8920
Zhao, Y. L., Liu, F. Y., Liu, C. Y., Usman, M., Dutta, K. D. (2020). Readability of annual report and inefficient investment: Evidence from debt financing. Transformations in Business & Economics, 19(1(49)), 166–190.
Agarwal, V., & Naik, N. Y. (2004). Risks and portfolio decisions involving hedge funds. Review of Financial Studies, 17(1), 63–98. https://doi.org/10.1093/rfs/hhg044
Agarwal, V., Green, T. C., & Rena, H. (2018). Alpha or beta in the eye of the beholder: What drives hedge fund flows? Journal of Financial Economics, 127(3), 417–434. https://doi.org/10.1016/j.jfineco.2018.01.006
Alliance Bernstein. (2012). Rooting Out Biases in Hedge-Fund Data. https://blog.alliancebernstein.com/post/en/2012/12/rooting-out-biases-in-hedge-fund-data
Almeida, C., Ardison, K., & Garcia, R. (2020). Nonparametric assessment of hedge fund performance. Journal of Econometrics, 214(2), 349–378. https://doi.org/10.1016/j.jeconom.2019.08.002
Ardia, D., & Boudt, K. (2018). The peer performance ratios of hedge funds. Journal of Banking and Finance, 87(C), 351–368. https://doi.org/10.1016/j.jbankfin.2017.10.014
Babecký, J., Havráneka, T., Matˇej˚u, J., Rusnáka, M., Smídková, K., & Vašíček, B. (2014). Banking, debt, and currency crises in developed countries: Stylizedfacts and early warning indicators. Journal of Financial Stability, 15, 1–17. https://doi.org/10.1016/j.jfs.2014.07.001
Berglund, A., Guidolin, M. & Pedio, M. (2018). Monetary policy after the crisis: Threat or opportunity to hedge funds’ alphas? (BAFFI CAREFIN Centre Research Paper No. 2018-84). https://doi.org/10.2139/ssrn.3225600
Bernard, C., Vanduffel, S., & Ye, J. (2019). A new efficiency test for ranking investments: Application to hedge fund performance. Economics Letters, 181, 203–207. https://doi.org/10.1016/j.econlet.2019.05.023
Bohl, M. T., Siklos, P. L., Stefan, M., & Wellenreuther, C. (2020). Price discovery in agricultural commodity markets: Do speculators contribute? Journal of Commodity Markets, 18, 100092. https://doi.org/10.1016/j.jcomm.2019.05.001
Canepa, A., González, M., & Skinner, F. S. (2020). Hedge fund strategies: A non-parametric analysis. International Review of Financial Analysis, 67, 101436. https://doi.org/10.1016/j.irfa.2019.101436
Cao, Ch., Liang, B., Lo, A. W., & Petrasek, L. (2018). Hedge fund holdings and stock market efficiency. The Review of Asset Pricing Studies, 8(1), 77–116. https://doi.org/10.1093/rapstu/rax015
Capocci, D., Corhay, A., & Hubner, G. (2005). Hedge fund performance and persistence in bull and bear markets. The European Journal of Finance, 11(5), 361–392. https://doi.org/10.1080/1351847042000286676
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
Chen, Y., Sun, J., Xu, W., & Jin, H. (2019). Empirical test of CAPM in Shanghai securities market. Finance, 9(1), 28–33. https://doi.org/10.12677/FIN.2019.91004
Denk, K., Djerroud, B., Seco, L., Shakourifar, M., & Zagso, R. (2020). Option-like properties in the distribution of hedge fund returns. Frontiers of Engineering Management, 7(2), 275–286. https://doi.org/10.1007/s42524-020-0095-3
Dewaele B., Pirotte, H., Tuchschmid, N., & Wallerstein, E. (2015). Assessing the performance of Funds of Hedge Funds (Working Papers CEB 11-041). Universite Libre de Bruxelles.
Dixon, L., Clancy, N., & Kumar, K. B. (2012). Hedge funds and systemic risk. RAND Corporation, Santa Monica, CA. https://www.rand.org/pubs/monographs/MG1236.html
Do, V., Faff, R., & Wickramanayake, J. (2005). An empirical analysis of hedge fund performance: The case of Australian hedge funds industry. Journal of Multinational Financial Management, 15(4–5), 377–393. https://doi.org/10.1016/j.mulfin.2005.04.006
Dou, W., Kogan, L., & Wu, W. (2021). Common fund flows: Flow hedging and factor pricing (Jacobs Levy Equity Management Center for Quantitative Financial Research Paper). https://doi.org/10.2139/ssrn.3543675
Duanmu, J., Li, Y., & Malakhov, A. (2020). Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs. The Financial Review, 55(3), 405–431. https://doi.org/10.1111/fire.12221
Edelman, D., Fung, W., Hsieh, D. A., & Naik, N. Y. (2012). Funds of hedge funds: Performance, risk and capital formation 2005 to 2010. Financial Markets and Portfolio Management, 26(1), 87–108. https://doi.org/10.1007/s11408-011-0180-z
Estrada, J. (2021). No hedge funds, no cry. https://doi.org/10.2139/ssrn.3807815
Evestment. (2018) Hedge fund exposure and tail risk industry report. https://www.evestment.com/resources/research-reports
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fung, W., & Hsieh, D. A. (1997). Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies, 10(2), 275–302. https://doi.org/10.1093/rfs/10.2.275
Fung, W., & Hsieh, D. A. (2001). The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. Review of Financial Studies, 14(2), 313–341. https://doi.org/10.1093/rfs/14.2.313
Fung, W., & Hsieh, D. A. (2004). Hedge fund benchmarks: A risk-based approach. Financial Analysts Journal, 60(5), 65–80. https://doi.org/10.2469/faj.v60.n5.2657
Gregoriou, G. N., Racicot, F. É., & Théoret, R. (2021). The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. Economic Modelling, 94, 843–872. https://doi.org/10.1016/j.econmod.2020.02.025
Grinblatt, M., Jostova, G., Petrasek, L., & Philipov, A. (2020). Style and skill: Hedge funds, mutual funds, and momentum. Management Science, 66(12), 5505–5531. https://doi.org/10.1287/mnsc.2019.3433
Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50(3), 1029–1054. https://doi.org/10.2307/1912775
Helliwell, J. F., Layard, R., Sachs, J. D., De Neve, J. E., Aknin, L. B., & Wang, S. (2021). World Happiness Report. United Nations Program. https://happiness-report.s3.amazonaws.com/2021/WHR+21.pdf
Hespeler, F., & Loiacono, G. (2015). Monitoring systemic risk in the hedge fund sector (ESMA Working Paper, 2). https://www.esma.europa.eu/sites/default/files/library/esma_wp-2015-2_working_paper_no.2_2015_monitoring_systemic_risk_in_the_hedge_fund_sector.pdf
Joenväärä, J., Kauppila, M., Kosowski, R., & Tolonen, P. (2019). Hedge fund performance: Are stylized facts sensitive to which database one uses? (Critical Finance Review). https://ssrn.com/abstract=3359325
Kang, B. U., Kim, J. M., Palmon, O., & Zhong, Z. (2020). Are college education and job experience complements or substitutes? Evidence from hedge fund portfolio performance. Review of Quantitative Finance and Accounting, 54(4), 1247–1278. https://doi.org/10.1007/s11156-019-00824-5
Kanuri, S. (2020). Hedge fund performance in Japan. Review of Pacific Basin Financial Markets and Policies, 23(3), 2050023. https://doi.org/10.1142/S021909152050023X
Kolisovas, D. (2021a). Secrets of long livers: Crisis alpha. In Nordic hedge fund industry report 2021 (pp. 48–53). https://hedgenordic.com/wp-content/uploads/2021/03/HNIR2021.pdf
Kolisovas, D. (2021b). In the Face of COVID-19: Unusual crisis performance, Finding Alpha in Equities, (pp. 38–43). https://hedgenordic.com/wp-content/uploads/2021/05/Equities_2021.pdf
Liang, B., & Qiu, L. (2019). Hedge fund leverage: 2002–2017. European Financial Management, 25(4), 908–941. https://doi.org/10.1111/eufm.12202
Mensi, W., Shafiullah, M., Vo, X. V., & Kang, S. H. (2021). Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. Resources Policy, 71, 102002. https://doi.org/10.1016/j.resourpol.2021.102002
Metzger, N., & Shenai, V. (2019). Hedge fund performance during and after the crisis: A comparative analysis of strategies 2007–2017. International Journal of Financial Studies, 7(1), 15. https://doi.org/10.3390/ijfs7010015
Oueslati, A., & Hammami, Y. (2018). Forecasting stock returns in Saudi Arabia and Malaysia. Review of Accounting and Finance, 17(2), 259–279. https://doi.org/10.1108/RAF-05-2017-0089
Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685. https://doi.org/10.1086/374184
Racicot, F. E. (2015). Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note. Applied Economics, 47(10), 981–989. https://doi.org/10.1080/00036846.2014.985373
Racicot, F. E., & Théoret, R. (2016). Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. Journal of Banking & Finance, 62, 41–61. https://doi.org/10.1016/j.jbankfin.2015.10.004
Racicot, F. É., & Théoret, R. (2019). Hedge fund return higher moments over the business cycle. Economic Modelling, 78, 73–97. https://doi.org/10.1016/j.econmod.2018.08.016
Racicot, F. E., Rentz, W. F., & Théoret, R. (2018). Testing the new Fama and French factors with illiquidity: A panel data investigation. Finance, 39(3), 45–102. https://doi.org/10.3917/fina.393.0045
Racicot, F. E., Théoret, R., & Gregoriou, G. N. (2021). The response of hedge fund higher moments risk to macroeconomic and illiquidity shocks. International Review of Economics and Finance, 73, 289–318. https://doi.org/10.1016/j.iref.2020.12.004
Robertson, J. (2018). Replica localization in East Asia: The case of the Asian hedge fund industry. Globalizations, 15(3), 407–421. https://doi.org/10.1080/14747731.2018.1424286
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. https://doi.org/10.1016/0022-0531(76)90046-6
Siegel, J. J. (2005). The Future for Investors: Why the tried and the true triumph over the bold and the new. Crown Publishing.
Stafylas, D., Anderson, K., & Uddin, M. (2018). Hedge fund performance attribution under various market conditions. International Review of Financial Analysis, 56, 221–237. https://doi.org/10.1016/j.irfa.2018.01.006
Sung, S., Chun, D., Cho, H., & Ryu, D. (2020). Hedge fund market runs during financial crises. Economic Research-Ekonomska Istraživanja, 34(1), 266–291. https://doi.org/10.1080/1331677X.2020.1782245
Swartz, L. M., & Emami-Langroodi, F. (2018). Relative Value Hedge Funds: A behavioral modeling of hedge fund risk and return factors. Journal of Behavioral Finance, 19(4), 462–482. https://doi.org/10.1080/15427560.2018.1434654
Teo, M. (2009). The geography of hedge funds. Review of Financial Studies, 22(9), 3531–3561. https://doi.org/10.1093/rfs/hhp007
Van Dyk, F., Van Vuuren, G., & Heymans, A. (2014). Hedge fund performance using scaled Sharpe and Treynor measures. International Business & Economics Research Journal (IBER), 13(6), 1261–1300. https://doi.org/10.19030/iber.v13i6.8920
Zhao, Y. L., Liu, F. Y., Liu, C. Y., Usman, M., Dutta, K. D. (2020). Readability of annual report and inefficient investment: Evidence from debt financing. Transformations in Business & Economics, 19(1(49)), 166–190.