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.
Morana, C., Beltratti, A. (2008). Aggregate Hedge Funds Flows and Returns. APPLIED FINANCIAL ECONOMICS, 18(21), 1755-1764 [10.1080/09603100701735979].
Aggregate Hedge Funds Flows and Returns
MORANA, CLAUDIO;
2008
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.