A Stepwise Multiple Testing on Hedge Funds' Performance
碩士 === 國立成功大學 === 財務金融研究所 === 96 === This paper intends to examine the monthly returns of 7,077 hedge funds from the HFR hedge fund database. We calculate the alpha value and its t-ratio for each fund based upon Fung and Hsieh’s (2004b) seven-factor model to get the alpha value. Moreover, we adopt R...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12780933242527296014 |