Open AccessRisks and returns in hedge funds – econometric and austrian economic perspectives
Author(s) -
Mónica Vinje Redpath
Publication year - 2021
Publication title -
procesos de mercado
Language(s) - English
Resource type - Journals
ISSN - 1697-6797
DOI - 10.52195/pm.v6i1.299
Subject(s) - hedge fund , global assets under management , leverage (statistics) , alternative beta , economics , financial economics , fund of funds , risk–return spectrum , institutional investor , business , finance , market liquidity , portfolio , corporate governance , machine learning , computer science
Hedge funds and funds of hedge funds are some of the preferred ways to access capital market opportunities by institutional investors and high net worth individuals seeking vehicles of absolute return. Risks and returns are difficult to assess because of skewness and kurtosis so that traditional mean and variance analyses are inappropriate. I assess the possible implications of high leverage finance and financial innovations from an Austrian economic viewpoint on the basis of an econometric analysis of hedge fund risk adjusted returns and a historical consideration of asset price shocks in Thailand and Japan.
Key words: Hedge funds, leveraged finance, Austrian economics, monetary policy, risk.
JEL classification: B53, C01, E58, D53.