Are hedge fund returns predictable?
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Author(s)
Bianchi, Robert J
Wijeratne, Thanula
Griffith University Author(s)
Year published
2009
Metadata
Show full item recordAbstract
While earlier empirical research found that stock, bond and hedge fund returns can be predicted with conventional financial and economic variables, recent econometric studies have shown that predictive regressions are spurious when the forecasting instrument is a non-stationary variable. After examining the predictability of hedge fund index returns with stationary forecasting variables,our findings suggest that the forecasting variables discovered in previous studies are statistically insignificant at predicting hedge fund index returns.While earlier empirical research found that stock, bond and hedge fund returns can be predicted with conventional financial and economic variables, recent econometric studies have shown that predictive regressions are spurious when the forecasting instrument is a non-stationary variable. After examining the predictability of hedge fund index returns with stationary forecasting variables,our findings suggest that the forecasting variables discovered in previous studies are statistically insignificant at predicting hedge fund index returns.
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Journal Title
Jassa: The finsia journal of applied finance
Volume
2009
Issue
4
Publisher URI
Copyright Statement
© 2009 JASSA and the Authors. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
Subject
Accounting, auditing and accountability
Banking, finance and investment
Banking, finance and investment not elsewhere classified