Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?

We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecifica...

Full description

Saved in:
Bibliographic Details
Published in:Journal of financial and quantitative analysis 2017-10, Vol.52 (5), p.2157-2181
Main Authors: Sias, Richard, Turtle, Harry J., Zykaj, Blerina
Format: Article
Language:English
Subjects:
Bias
Hedge funds
Hypotheses
Prices
Quantitative analysis
Volatility
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223
cites cdi_FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223
container_end_page 2181
container_issue 5
container_start_page 2157
container_title Journal of financial and quantitative analysis
container_volume 52
creator Sias, Richard
Turtle, Harry J.
Zykaj, Blerina
description We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.
doi_str_mv 10.1017/S0022109017000679
format article
fullrecord <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_2787225000</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><cupid>10_1017_S0022109017000679</cupid><jstor_id>26590474</jstor_id><sourcerecordid>26590474</sourcerecordid><originalsourceid>FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223</originalsourceid><addsrcrecordid>eNp1UN9LwzAQDqLgnP4BPggBn6t3adq0vohM55QOwelzaZNUMramS9qH_fdmbOiD-HTHfT_u7iPkEuEGAcXtAoAxhDz0AJCK_IiMUCRplOaYHpPRDo52-Ck5834ZOGEAI_I60-pL0-nQKvqu-8G19FF3ulW6lfqOzq3SKzo33ndamsbIqje2pdbRwmwGo0y_pYvOuGrl78_JSROqvjjUMfmcPn1MZlHx9vwyeSgiyfOkj5iqZQyxQF4lKDKhMc5QahXHqkmrLAHBJcccIBcZghS15CJFUAo51pyxeEyu976ds5tB-75c2nB3WFmy4MdYEp4LLNyzpLPeO92UnTPrym1LhHIXWfknsqC52muWvrfuR8DSJAcueMDjg2e1rp0Jwf2u_t_1G2eidJU</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2787225000</pqid></control><display><type>article</type><title>Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?</title><source>EconLit s plnými texty</source><source>International Bibliography of the Social Sciences (IBSS)</source><source>ABI/INFORM global</source><source>JSTOR Archival Journals and Primary Sources Collection</source><source>Cambridge University Press</source><source>BSC - Ebsco (Business Source Ultimate)</source><creator>Sias, Richard ; Turtle, Harry J. ; Zykaj, Blerina</creator><creatorcontrib>Sias, Richard ; Turtle, Harry J. ; Zykaj, Blerina</creatorcontrib><description>We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.</description><identifier>ISSN: 0022-1090</identifier><identifier>EISSN: 1756-6916</identifier><identifier>DOI: 10.1017/S0022109017000679</identifier><language>eng</language><publisher>New York, USA: Cambridge University Press</publisher><subject>Bias ; Hedge funds ; Hypotheses ; Prices ; Quantitative analysis ; Volatility</subject><ispartof>Journal of financial and quantitative analysis, 2017-10, Vol.52 (5), p.2157-2181</ispartof><rights>Copyright © Michael G. Foster School of Business, University of Washington 2017</rights><rights>COPYRIGHT 2017, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223</citedby><cites>FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.proquest.com/docview/2787225000/fulltextPDF?pq-origsite=primo$$EPDF$$P50$$Gproquest$$H</linktopdf><linktohtml>$$Uhttps://www.proquest.com/docview/2787225000?pq-origsite=primo$$EHTML$$P50$$Gproquest$$H</linktohtml><link.rule.ids>314,776,780,11667,12826,27901,27902,33200,36037,44339,58213,58446,72703,74638</link.rule.ids></links><search><creatorcontrib>Sias, Richard</creatorcontrib><creatorcontrib>Turtle, Harry J.</creatorcontrib><creatorcontrib>Zykaj, Blerina</creatorcontrib><title>Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?</title><title>Journal of financial and quantitative analysis</title><addtitle>J. Financ. Quant. Anal</addtitle><description>We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.</description><subject>Bias</subject><subject>Hedge funds</subject><subject>Hypotheses</subject><subject>Prices</subject><subject>Quantitative analysis</subject><subject>Volatility</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2017</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><sourceid>M0C</sourceid><recordid>eNp1UN9LwzAQDqLgnP4BPggBn6t3adq0vohM55QOwelzaZNUMramS9qH_fdmbOiD-HTHfT_u7iPkEuEGAcXtAoAxhDz0AJCK_IiMUCRplOaYHpPRDo52-Ck5834ZOGEAI_I60-pL0-nQKvqu-8G19FF3ulW6lfqOzq3SKzo33ndamsbIqje2pdbRwmwGo0y_pYvOuGrl78_JSROqvjjUMfmcPn1MZlHx9vwyeSgiyfOkj5iqZQyxQF4lKDKhMc5QahXHqkmrLAHBJcccIBcZghS15CJFUAo51pyxeEyu976ds5tB-75c2nB3WFmy4MdYEp4LLNyzpLPeO92UnTPrym1LhHIXWfknsqC52muWvrfuR8DSJAcueMDjg2e1rp0Jwf2u_t_1G2eidJU</recordid><startdate>20171001</startdate><enddate>20171001</enddate><creator>Sias, Richard</creator><creator>Turtle, Harry J.</creator><creator>Zykaj, Blerina</creator><general>Cambridge University Press</general><general>CAMBRIDGE UNIVERSITY PRESS</general><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7X1</scope><scope>7XB</scope><scope>87Z</scope><scope>8A9</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope><scope>S0X</scope></search><sort><creationdate>20171001</creationdate><title>Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?</title><author>Sias, Richard ; Turtle, Harry J. ; Zykaj, Blerina</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2017</creationdate><topic>Bias</topic><topic>Hedge funds</topic><topic>Hypotheses</topic><topic>Prices</topic><topic>Quantitative analysis</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Sias, Richard</creatorcontrib><creatorcontrib>Turtle, Harry J.</creatorcontrib><creatorcontrib>Zykaj, Blerina</creatorcontrib><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>Accounting &amp; Tax Database (Proquest)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>Accounting &amp; Tax Database (Alumni Edition)</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Accounting, Tax &amp; Banking Collection (ProQuest)</collection><collection>AUTh Library subscriptions: ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>International Bibliography of the Social Sciences</collection><collection>Accounting, Tax &amp; Banking Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM global</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><collection>SIRS Editorial</collection><jtitle>Journal of financial and quantitative analysis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Sias, Richard</au><au>Turtle, Harry J.</au><au>Zykaj, Blerina</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?</atitle><jtitle>Journal of financial and quantitative analysis</jtitle><addtitle>J. Financ. Quant. Anal</addtitle><date>2017-10-01</date><risdate>2017</risdate><volume>52</volume><issue>5</issue><spage>2157</spage><epage>2181</epage><pages>2157-2181</pages><issn>0022-1090</issn><eissn>1756-6916</eissn><abstract>We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.</abstract><cop>New York, USA</cop><pub>Cambridge University Press</pub><doi>10.1017/S0022109017000679</doi><tpages>25</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 0022-1090
ispartof Journal of financial and quantitative analysis, 2017-10, Vol.52 (5), p.2157-2181
issn 0022-1090
1756-6916
language eng
recordid cdi_proquest_journals_2787225000
source EconLit s plnými texty; International Bibliography of the Social Sciences (IBSS); ABI/INFORM global; JSTOR Archival Journals and Primary Sources Collection; Cambridge University Press; BSC - Ebsco (Business Source Ultimate)
subjects Bias
Hedge funds
Hypotheses
Prices
Quantitative analysis
Volatility
title Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-01T09%3A59%3A03IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Hedge%20Fund%20Return%20Dependence:%20Model%20Misspecification%20or%20Liquidity%20Spirals?&rft.jtitle=Journal%20of%20financial%20and%20quantitative%20analysis&rft.au=Sias,%20Richard&rft.date=2017-10-01&rft.volume=52&rft.issue=5&rft.spage=2157&rft.epage=2181&rft.pages=2157-2181&rft.issn=0022-1090&rft.eissn=1756-6916&rft_id=info:doi/10.1017/S0022109017000679&rft_dat=%3Cjstor_proqu%3E26590474%3C/jstor_proqu%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c495t-2dbc303714a51787e1381ced33df6a85074c4190097810c7bc47610dd141b4223%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=2787225000&rft_id=info:pmid/&rft_cupid=10_1017_S0022109017000679&rft_jstor_id=26590474&rfr_iscdi=true