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Higher Co-Moment CAPM and Hedge Fund Returns |
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| Authors: | Knif Johan Koutmos Dimitrios Koutmos Gregory |
| Affiliation: | 1.Hanken, School of Economics, P.O. Box 287, F, IN-65101, Vaasa, Finland ;2.Worcester Polytechnic Institute, 100 Institute Road, 01609, –2280, Worcester, MA, United States ;3.Gerald M. Levin Professor of Finance, Charles F. Dolan School of Business, Fairfield University, 06430, Fairfield, CT, United States ; |
| Abstract: | Atlantic Economic Journal - This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression approach is used... |
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