The beta puzzle revisited: A panel study of hedge fund returns
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anc¸ois-E´ric Racicot, PhD, holds a joint doctorate in Business Administration (Finance) from UQAM. He also holds an MSc in Economics (Econometrics) from University of Montreal where he also received his BSc in Economics (Quantitative Economics). He is Associate Professor of Finance at the Department of Administrative Sciences of the University of Quebec, Outaouais (UQO). He was Professor of Finance at the Department of Strategic Business of ESG-UQAM. He is a permanent member of the Laboratory for Research in Statistics and Probability (LRSP) and a research associate at the Chaire d’information financie`re et organisationnelle located at ESG-UQAM. He is also a consultant in Financial Engineering for various financial institutions in Quebec. His research fields include the theory of fixed income securities, the theory of derivative products, the empirical analysis of hedge funds and project financial engineering. Presently, his research focuses on the development of new econometric techniques for correcting and detecting specification errors in financial models, especially in the context of estimating the alpha of hedge funds. This research should be useful, especially for improving the selection of hedge funds used in the construction of fund of funds. He has published many books in financial engineering used at the graduate levels in universities and also in financial institutions. Raymond The´oret, PhD, holds a doctorate in Economics (financial economics) issued by the University of Montreal. He is Professor of Finance at l’E´cole des Sciences de la Gestion (ESG) of the University of Quebec, Montreal (UQAM). He was previously Professor in financial economics at l’Institut d’E´conomie Applique´e located at HEC Montreal. He was an economic and financial consultant at various financial institutions in Quebec and the Secretary of Campeau Commission on the improvement of the situation of financial institutions in Montreal which led to the foundation of Institut de Finance Mathe´matique de Montreal. He has published many articles and many books on financial engineering, especially in the fields of numerical methods and computational finance. Moreover, he is the founder of DESS (finance) issued by UQAM and a co-founder of the Maıˆtrise en finance applique´e at the same university. He teaches portfolio management theory and computational finance. His research focuses on modelling hedge fund returns, especially in its link with specification errors. He is an associate member of the Chaire d’information financie`re et organisationnelle located at ESG-UQAM.
Practical applications
Journal of Derivatives & Hedge Funds, Vol. 13 No. 2, 2007, pp. 125–146 r 2007 Palgrave Macmillan Ltd 1753-9641 $30.00
This paper will add to the tools of the financial practitioner for estimating the conditional alphas and betas of individual hedge funds classified by strategy. Actually, the excess returns of individual funds within a strategy must be estimated in panel, our paper showing that the behaviour of individual funds sorted by strategy m
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