English, Article edition: TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS MARIO CERRATO; ANDREA IANNELLI

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Bookmark: http://trove.nla.gov.au/version/82976
Physical Description
  • article
Language
  • English

Edition details

Title
  • TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS
Author
  • MARIO CERRATO
  • ANDREA IANNELLI
Physical Description
  • article
Notes
  • We investigate the presence of managerial skills in different categories of hedge funds. Our approach is more flexible that others [7, 10] since it does not make any a priori assumptions regarding the distribution of returns. We find that the Global Macro and Market Neutral funds do not follow a pure random walk. In fact, for both these models the drift parameter is statistically significant. This result rejects our initial hypothesis that hedge funds (expected-excess) returns are on average zero. Indeed, the positive intercept can be interpreted as evidence of managerial skill. We conclude that investors seeking to invest in hedge funds should consider Market Neutral funds and Global Macro funds as possible investments.
  • Hedge funds, unit root tests, structural breaks
  • RePEc:wsi:ijtafx:v:09:y:2006:i:03:p:341-358
Language
  • English
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