DETERMINANTS OF THE NORDIC HEDGE FUND PERFORMANCE

IF 2.6 3区经济学 Q1 Business, Management and Accounting

Journal of Business Economics and Management Pub Date : 2022-03-29 DOI:10.3846/jbem.2022.16170

Danielius Kolisovas, Gintarė Giriūnienė, T. Baležentis, D. Štreimikienė, M. Mork̄unas

引用次数: 0

Abstract

Hedge funds have become an important part of the financial sector. The development of the hedge funds in the Nordic countries has been rather robust. Therefore, it is important to identify the determinants of the hedge fund performance and isolate the managerial performance, i.e., the Jensen’s alpha. To this end, this paper construct cross sectional and panel model for the Nordic hedge funds over 2005–2018. The Fung-Hsieh 8-factor model and other models are developed to identify the determinants of the Nordic hedge fund performance. The effects of crises of different nature (local to global, hedge funds to banking sector) are also tested. The results indicate that Nordic hedge funds are capable to generate positive alpha during the crisis even exceeding the alpha of the economically stable time periods.

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北欧对冲基金业绩的决定因素

对冲基金已成为金融领域的重要组成部分。对冲基金在北欧国家的发展相当迅猛。因此，重要的是要确定对冲基金业绩的决定因素，并隔离管理业绩，即詹森的alpha。为此，本文构建了2005-2018年北欧对冲基金的横截面和面板模型。本文建立了Fung-Hsieh八因素模型和其他模型来确定北欧对冲基金业绩的决定因素。不同性质的危机(地方性危机到全球性危机，对冲基金危机到银行业危机)的影响也将得到检验。结果表明，北欧对冲基金能够在危机期间产生正alpha，甚至超过经济稳定时期的alpha。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Economics and Management Multiple-

CiteScore

5.80

自引率

3.80%

发文量

审稿时长

15 weeks

期刊介绍： The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.