Are fund of hedge fund returns asymmetric?
|Title:||Are fund of hedge fund returns asymmetric?||Authors:||Lynch, Margaret
|Permanent link:||http://hdl.handle.net/10197/1124||Date:||2004||Abstract:||We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the underlying distribution, we find very little skewness in the returns of funds of funds, and when we do find evidence of asymmetry it is close to the mean rather than in the tails.||Type of material:||Working Paper||Publisher:||University College Dublin. School of Business. Centre for Financial Markets||Copyright (published version):||Centre for Financial Markets, 2004||Subject LCSH:||Hedge funds--Statistics
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
Show full item record
Page view(s) 5094
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.