|
|
|
|
||||
|
||||
A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity MarketByoung Uk KangThe Hong Kong Polytechnic University - School of Accounting and Finance Francis Haeuck InMonash University - Department of Accounting and Finance; Financial Research Network (FIRN) Gunky KimMonash University - Faculty of Business and Economics Tong Suk KimKorea Advanced Institute of Science and Technology (KAIST) September 25, 2009 Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, June 2010, pp. 763-789 Abstract: This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the filtered historical simulation; we then apply the method based on copula theory to uncover the dependence structure therein. While the direction of asymmetry remains unchanged, the magnitude of asymmetry is attenuated considerably as the investment horizon increases. Similar horizon effects also occur on the tail dependence. Our findings suggest that nonlinearity in hedge fund exposure to market risk is more short-term in nature, and that hedge funds provide higher benefits of diversification, the longer the horizon.
Number of Pages in PDF File: 43 Keywords: Hedge Funds, Investment Horizon Effect, Nonlinear Dependence, Tail Dependence, Copulas, Filtered Historical Simulation JEL Classification: G23, G11, C13, C14, C15, C16 Accepted Paper SeriesDate posted: February 1, 2008 ; Last revised: November 3, 2012Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.375 seconds
