David A. Hsieh

Duke University - Fuqua School of Business

Professor of Finance and Economics

Department of Finance

Box 90120

Durham, NC 27708-0120

United States

Duke University - Department of Economics

213 Social Sciences Building

Box 90097

Durham, NC 27708-0204

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

19

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CITATIONS
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242

Scholarly Papers (19)

1.
Downloads 5,742 ( 1,153)
Citation 25

Hedge Funds: Performance, Risk, and Capital Formation

The Journal of Finance, Vol. LXIII, No. 4, August 2008
Number of pages: 44 Posted: 16 Aug 2005 Last Revised: 11 Jul 2011
PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting
Downloads 5,688 (1,146)
Citation 60

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hedge funds, funds-of-funds, performance, alpha, survival, flows, capacity constraints

Hedge Funds: Performance, Risk and Capital Formation

CEPR Discussion Paper No. 5565
Number of pages: 33 Posted: 27 Jun 2006
PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting
Downloads 54 (374,679)
Citation 199
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Hedge funds, performance, alpha, factor models, flow, funds-of-hedge funds

Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases

Number of pages: 24 Posted: 20 Aug 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 3,421 (2,771)
Citation 35

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Hedge funds, benchmarks, performance, styles

Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases

Financial Analyst Journal, Forthcoming
Posted: 27 Oct 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Hedge funds, benchmarks, performance, styles

Asset-Based Hedge-Fund Styles and Portfolio Diversification

Duke University Fuqua School of Business Working Paper
Number of pages: 37 Posted: 12 Aug 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 2,736 (4,077)
Citation 7

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Hedge Fund, Style, Risk, Portfolio Diversification

Asset-Based Hedge-Fund Styles and Portfolio Diversification

Financial Analyst Journal, Forthcoming
Posted: 16 Jul 2002
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Hedge Fund, Style, Risk, Portfolio Diversification

4.

Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms

Number of pages: 61 Posted: 15 Oct 2012 Last Revised: 30 Mar 2015
Daniel Edelman, William Fung and David A. Hsieh
Independent, PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 645 (39,054)
Citation 9

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hedge funds, asset management

5.

Estimation of Stochastic Volatility Models with Diagnostics

Number of pages: 42 Posted: 27 Nov 1997
A. Ronald Gallant, David A. Hsieh and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Duke University - Fuqua School of Business and Duke University - Economics Group
Downloads 460 (60,379)
Citation 60

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6.

Hedge Fund Franchises

Management Science, Forthcoming
Number of pages: 54 Posted: 24 Dec 2014 Last Revised: 11 Dec 2018
William Fung, David A. Hsieh, Narayan Y. Naik and Melvyn Teo
PI Asset Management, LLC, Duke University - Fuqua School of Business, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 381 (75,644)
Citation 2

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hedge funds, first funds, follow-on funds, spillover, agency problems

7.

The Profitability of Currency Speculation

NBER Working Paper No. w1197
Number of pages: 41 Posted: 23 Aug 2000
John F. O. Bilson and David A. Hsieh
Illinois Institute of Technology and Duke University - Fuqua School of Business
Downloads 80 (299,959)
Citation 2

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8.

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets

NBER Working Paper No. NBER_W0843
Number of pages: 20 Posted: 25 May 2006
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 33 (445,601)
Citation 29

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9.

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats

NBER Working Paper No. w0843
Number of pages: 20 Posted: 26 May 2009
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 12 (559,130)
Citation 1

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10.

International Risk Sharing and the Choice of Exchange-Rate Regime

NBER Working Paper No. w0842
Number of pages: 17 Posted: 10 Oct 2007
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 12 (559,130)

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11.

Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update

Financial Analysts Journal, Vol. 65, No. 3, 2009
Posted: 05 Jun 2009
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Performance Measurement and Evaluation, Performance Measurement, Portfolio Management, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

12.

Will Hedge Funds Regress Towards Index-Like Products?

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
William Fung and David A. Hsieh
affiliation not provided to SSRN and Duke University - Fuqua School of Business

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Hedge fund, rule-based trading strategy, synthetic hedge fund, passive index fund, trend follower, merger arbitrage strategy, alternative alpha, alternative beta

13.

Extracting Portable Alphas from Equity Long-Short Hedge Funds

Journal of Investment Management, Vol. 2, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Hedge funds

14.

Hedge Fund Benchmarks: A Risk-Based Approach

Financial Analysts Journal, Vol. 60, No. 5, pp. 65-80, September/October 2004
Posted: 05 Nov 2004
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Portfolio Management: Hedge Fund Strategies, Alternative Investments: Hedge Fund Strategies, Risk Measurement and Management: Alternative Investments

15.

Asset-Based Style Factors for Hedge Funds

Financial Analysts Journal, Vol. 58, No. 5, September/October 2002
Posted: 20 Mar 2003
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Alternative Investments, hedge funds

16.

Hedge-Fund Benchmarks: Information Content and Biases

Financial Analysts Journal, Vol. 58, No. 1
Posted: 02 Mar 2002
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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17.

The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

The Review of Financial Studies, Vol. 14, No. 2, Summer 2001
Posted: 11 Nov 2001
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Hedge fund, risk management, style factors, trend following, options

18.

Performance Characteristics of Hedge Funds and Cta Funds: Natural Vs. Spurious Biases

J of Financial and Quantitative Analysis, September 2000
Posted: 24 Jan 2001
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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19.

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 23 Apr 1997
William Fung Arms and David A. Hsieh
Duke University and Duke University - Fuqua School of Business

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