期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2008
卷号：2
期号：3
页码：67-94
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econometric model. We then assess whether several categories of hedge funds do produce alphas and whether the latter are related to capital inflows. Our results point to a positive correlation between past alphas and future flows and a negative relation between past flows and future alphas in the case of arbitrage-based styles. We do not find any structural decline in alpha for most hedge fund categories
