The procyclicality of hedge fund alpha and beta
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1057/jdhf.2013.3.pdf
Reference53 articles.
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3. Agarwal, V. and Naik, N.Y. (2004) Risk and portfolio decisions involving hedge funds. Review of Financial Studies 17 (1): 63–98.
4. Altman, E. and Saunders, A. (2001) An analysis and critique of the BIS proposal on capital adequacy and ratings. Journal of Banking and Finance 25 (1): 25–46.
5. Amato, J.D. and Furfine, C.H. (2004) Are credit ratings procyclical? Journal of Banking and Finance 28 (11): 2641–2677.
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