Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/6659
Title: A longer look at the asymmetric dependence between hedge funds and the equity market
Authors: Kang, BU 
In, F
Kim, G
Kim, TS
Keywords: Time-series models
Goodness-of-fit
Risk
Copulas
Returns
Portfolios
Families interval
Issue Date: Jun-2010
Publisher: Cambridge University Press
Source: Journal of financial and quantitative analysis, June 2010, v. 45, no. 3, p. 763-789 How to cite?
Journal: Journal of financial and quantitative analysis 
Abstract: This paper reexamines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the filtered historical simulation; we then apply the method based on copula theory to uncover the dependence structure therein. While the direction of asymmetry remains unchanged, the magnitude of asymmetry is attenuated considerably as the investment horizon increases. Similar horizon effects also occur on the tail dependence. Our findings suggest that nonlinearity in hedge fund exposure to market risk is more short term in nature, and that hedge funds provide higher benefits of diversification, the longer the horizon.
URI: http://hdl.handle.net/10397/6659
ISSN: 0022-1090
EISSN: 1756-6916
DOI: 10.1017/S0022109010000219
Rights: Copyright 2010, Michael G. Foster School of Business, University of Washington, Seattle, WA 98195.
The article is available at http://dx.doi.org/10.1017/S0022109010000219
Appears in Collections:Journal/Magazine Article

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