Higher Co-Moment CAPM and Hedge Fund Returns
Higher Co-Moment CAPM and Hedge Fund Returns
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Publisher
New York: Springer US
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Language
English
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Publication information
Publisher
New York: Springer US
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Scope and Contents
Contents
This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression approach is used to test for any possible changes in the coefficients of the model. The hypothesis that the parameters are stable across the distribution of returns is tested and rejected. The most...
Alternative Titles
Full title
Higher Co-Moment CAPM and Hedge Fund Returns
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_proquest_journals_2399055389
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2399055389
Other Identifiers
ISSN
0197-4254
E-ISSN
1573-9678
DOI
10.1007/s11293-020-09659-1
