Three Essays on Hedge Funds
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Empirical Finance ( forthcoming ) The Risk in Hedge Fund Strategies : Theory and Evidence from Long / Short Equity Hedge
Theory suggests that long/short equity hedge funds’ returns come from directional as well as spread bets on the stock market. Empirical analysis finds persistent net exposures to the spread between small versus large cap stocks in addition to the overall market. Together, these factors account for more than 80 percent of return variation. Additional factors are price momentum and market activit...
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