Higher Co-Moment CAPM and Hedge Fund Returns

1Citations
Citations of this article
2Readers
Mendeley users who have this article in their library.
Get full text

Abstract

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 stable coefficient is the second moment (beta) coefficient. The higher moment coefficients vary considerably. Alpha returns tend to be positive and significant at the center of the distribution. The importance of higher co-moments (i.e., co-skewness and co-kurtosis) is more prevalent at the tails of the distribution of returns suggesting that there are significant tail risks. These findings could potentially have important implications for portfolio strategies and performance evaluation.

Cite

CITATION STYLE

APA

Knif, J., Koutmos, D., & Koutmos, G. (2020). Higher Co-Moment CAPM and Hedge Fund Returns. Atlantic Economic Journal, 48(1), 99–113. https://doi.org/10.1007/s11293-020-09659-1

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free