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dc.contributor.convenorKhorshed Alamen_AU
dc.contributor.authorJ. Bianchi, Roberten_US
dc.contributor.authorE. Drew, Michaelen_US
dc.contributor.authorStanley, Alexen_US
dc.contributor.editorKhorshed Alamen_US
dc.date.accessioned2017-05-03T11:31:19Z
dc.date.available2017-05-03T11:31:19Z
dc.date.issued2008en_US
dc.date.modified2010-07-26T06:52:37Z
dc.identifier.urihttp://hdl.handle.net/10072/32596
dc.description.abstractThis paper analyses the performance of the global hedge fund industry to determine whether alpha, or risk-adjusted excess returns are earned. The efficient market hypothesis questions whether professional investors such as hedge funds can produce superior returns over and above a passive investment strategy. The study examines 7,355 surviving and non-surviving global hedge funds for the period 1994-2006. This paper proposes a simple multi-factor model which is easier to implement in comparison to more complex option-based frameworks that are proposed in the literature. The multi-factor framework employed in this study demonstrates that the returns of individual funds and the systematic return of the global hedge fund industry can be replicated with passive investment strategies in global financial markets. This study reveals little alpha or manager skill in this sample of hedge funds and therefore questions the validity of high management fee structures in this segment of the global funds management industry.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.format.extent79344 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisher37th Australian Conference of Economists (ACE2008)en_US
dc.publisher.placeGold Coast, Australiaen_US
dc.publisher.urihttp://www.ace08.com.au/en_AU
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofconferencename37th Australian Conference of Economists (ACE2008)en_US
dc.relation.ispartofconferencetitle37th Australian Conference of Economists (ACE2008)en_US
dc.relation.ispartofdatefrom2008-09-30en_US
dc.relation.ispartofdateto2008-10-04en_US
dc.relation.ispartoflocationGold Coast, Australiaen_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchcode350301en_US
dc.titleThe Search for Hedge Fund Alphaen_US
dc.typeConference outputen_US
dc.type.descriptionE1 - Conference Publications (HERDC)en_US
dc.type.codeE - Conference Publicationsen_US
gro.rights.copyright© 2008 Economic Society of Australia QLD Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the publisher's website for access to the definitive, published version.en_US
gro.date.issued2008
gro.hasfulltextFull Text
gro.griffith.authorBianchi, Robert


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