Models of evaluation of the effectiveness of hedge funds
Hedge fund research. Multifactor asset-pricing models. Hedge funds factor models. Data on asset pricing factors and descriptive statistics. Carhart four-factor model. Betting against beta. Quality minus junk. Analysis of regional focuses, asset pricing.
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The purpose of the research was using liquidity-adjusted Capital Asset Pricing Model (CAPM) proposed by Acharya and Pedersen to figure out how does the liquidity effect on asset returns in crisis time is different from the liquidity effect in stable time.
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