Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework

被引：6

作者：

Li, Haitao ^{[1
]}

Xu, Yuewu ^{[2
]}

Zhang, Xiaoyan ^{[3
]}

机构：

[1] Cheung Kong Grad Sch Business, Beijing 100738, Peoples R China

[2] Fordham Univ, Gabelli Sch Business, New York, NY 10023 USA

[3] Purdue Univ, Krannert Sch Management, W Lafayette, IN 47906 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2016年 / 51卷 / 01期

关键词：

ASSET PRICING-MODELS; CROSS-SECTION; MUTUAL FUNDS; MARKET; RETURNS; RISK; EQUILIBRIUM; STRATEGIES; STOCKS;

D O I：

10.1017/S0022109016000120

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study hedge fund performance evaluation under the stochastic discount factor framework of Farnsworth, Ferson, Jackson, and Todd (FFJT). To accommodate dynamic trading strategies and derivatives used by hedge funds, we extend FFJT's approach by considering models with option and time-averaged risk factors and incorporating option returns in model estimation. A wide range of models yield similar conclusions on the performance of simulated long/short equity hedge funds. We apply these models to 2,315 actual long/short equity funds from the Lipper TASS database and find that a small portion of these funds can outperform the market.

引用

页码：231 / 257

页数：27

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