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Thesis

Essays on hedge fund illiquidity, return predictability, and time-varying risk exposure

Abstract:

This thesis consists of three papers that make independent contributions to the field of financial economics. As such, the papers, Chapter 2, Chapter 3, and Chapter 4, can be read independently of each other.

In Chapter 2, we construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, U.S. corporate bonds, and currencies, over the 1994 to 2011 period...

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Oxford-Man Institute of Quantitative Finance
Oxford college:
Lincoln College
Role:
Author

Contributors

Division:
SSD
Department:
Economics
Role:
Supervisor
Division:
SSD
Department:
Economics
Role:
Supervisor
Publication date:
2015
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
Language:
English
Keywords:
Subjects:
UUID:
uuid:236c2e23-5052-4046-bcb0-740d79c87232
Local pid:
ora:10394
Deposit date:
2015-03-03

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