Earticle

초록

영어

This paper investigates the investment horizon effects on dependence structure between hedge fund returns and market returns. The key question is whether the nonlinearity (i.e., asymmetry) in the dependence structure, observed by several previous studies using monthly frequency data, continues to exist between longer horizon returns. In the context of hedge funds, this question is particularly important because investing in a hedge fund often involves liquidity restrictions such as lock-up periods and redemption notice periods. Two main results emerge. First, the asymmetry in their dependence relationship is more short-term in nature. Second, the lower tail dependence decreases along with the increasing investment time horizon, which suggest the possibility that the tail risk of hedge funds can be diversified through time. Our finding of diminishing asymmetry in dependence structure along with lengthening investment horizon implies that the value of knowing such asymmetries may not be as substantial for long-term investors as the previous studies suggest.

목차

ABSTRACT
 1. Introduction
 2. Research design
  2.1. Non-parametric simulation
  2.2. Parametric simulation
 3. Empirical results
  3.1. Data
  3.2. Analysis on non-parametrically simulated data
  3.3. Analysis on parametrically simulated data
 4. Conclusions
 References

저자

• Francis In [ Department of Accounting and Finance, Monash University, Clayton, Victoria, 3168, Australia ]
• Byoung Uk Kang [ Graduate School of Management, Korea Advanced Institute of Science and Technology ] Corresponding author
• Gunky Kim [ Department of Econometrics and Business Statistics, Monash University, Caulfield East, Victoria, 3145, Australia ]
• Tong Suk Kim [ Graduate School of Management, Korea Advanced Institute of Science and Technology ]

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330