Aggregate hedge funds' flows and returns

Authors: Beltratti, Andrea¹; Morana, Claudio²

Source: Applied Financial Economics, Volume 18, Number 21, December 2008 , pp. 1755-1764(10)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved components. The results point to strong autocorrelation in both flows and returns and to positive correlation between past returns and future flows, while the evidence concerning the linkage between past flows and future returns is mixed.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/09603100701735979

Affiliations: 1: Istituto di Economia Politica, Universita Bocconi, Milan, Italy 2: Dipartimento di Scienze Economiche e Metodi Quantitativi, Universita degli Studi del Piemonte Orientale 'Amedeo Avogadro', 28100 Novara, Italy

Publication date: 2008-12-01

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