Πλοήγηση ανά Συγγραφέα "Legkou, Ioanna"

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Testing for Alpha of the major hedge fund industries
(2020-12-24) Legkou, Ioanna; Λέγκου, Ιωάννα; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Kavussanos, Manolis; Chalamandaris, George
This paper examines the performance of the new factor models to explain the excess return of indices and also the performance of the indices using the factor models as depended variables. It has been a lot of discussion regarding the potential of the new factor models to improve the decisions of the investors and give better managing abilities to the managers by choosing the right index. For this purpose we used the American equity funds index that report to the base of the HFRI as our sample and examined the values of the alphas produced by the regression with the new factor models . Much of asset pricing research involves investigating for factors that improve the explaining of the cross-section of expected stock returns. Based on that a lot of economical researches proposed factor models with that ability . On this paper we are going to investigate the performance of the equity hedge funds using the following factor models : Fama and French 3 factor model , Fama and French 5 factor model , Hou Hue and Zhang 4 factor model , Stambaugh and Pastor 4 factor model . Barillas and Shanken six factor model.