Pricing strategy: hedge funds

Hedge funds are privately organized investment pools, the strategies of which include long and short positions, arbitrage, and buying and selling undervalued securities. Hedge fund strategies are used to reduce risk, preserve capital and deliver positive returns to their investors. The aim of this s...

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Bibliographic Details
Published in:Procedia, social and behavioral sciences social and behavioral sciences, 2012, Vol.41, p.544-558
Main Authors: Apak, Sudi, Taşcıyan, Kamer Hagop, Sezgin, Funda, Lynch, Richard
Format: Article
Language:English
Subjects:
Hedge Funds ·Tests of Asset Pricing Models ·Time-Series Techniques
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Summary:Hedge funds are privately organized investment pools, the strategies of which include long and short positions, arbitrage, and buying and selling undervalued securities. Hedge fund strategies are used to reduce risk, preserve capital and deliver positive returns to their investors. The aim of this study is to propose a suitable pricing model within the CAPM model of different form, through reducing hedge funds, which consist of many strategies, in consideration with their time series features by the help of time series factor analysis. In the application, it is proposed that with this new approach, the CAPM model of quadratic form for 2 lags is obtained as the suitable model with the minimum AIC result; and that as the relationships between the strategies and lag structure are considered, more objective pricing models can be obtained.
ISSN:1877-0428
1877-0428
DOI:10.1016/j.sbspro.2012.04.067