Cumulant instrument estimators for hedge fund return models with errors in variables

References

• Ackermann, C. R., McEnally, R. and Ravenscraft, D. (1999) The performance of hedge funds: risk, return and incentives, Journal of Finance, 54, 833–74.
   Web of Science ®Google Scholar
• Adrian, T. and Shin, H. S. (2010) Financial intermediaries and monetary economics, Staff Report No. 398, Federal Reserve Bank of New York, New York. 
   Google Scholar
• Aitken, A. C. (1935) On least squares and linear combination of observations, Proceedings of the Royal Society of Edimburgh, 55, 42–8.
   Google Scholar
• Barrell, R., Davis, E. P., Karim, D. et al. (2010) Evaluating off-balance sheet exposures in banking crisis determination models, Working paper, Brunel University, National Institute of Economic and Social Research, London. 
   Google Scholar
• Black, F. (1976) Studies of stock prices volatility changes, Proceedings of the American Statistical Association, 177–81.
   Google Scholar
• Campbell, J. Y., Lettau, M., Malkiel, B. G. et al. (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance, 56, 1–43.
   Web of Science ®Google Scholar
• Campbell, J. Y., Lo, A. W. and MacKinlay, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
   Google Scholar
• Chen, N. F., Roll, R. and Ross, S. (1986) Economic forces and the stock market, Journal of Business, 59, 572–621.
   Google Scholar
• Cheng, C. L. and Van Ness, J. W. (1999) Regression with Measurement Error, Arnold, London. 
   Google Scholar
• Cochrane, J. H. (2005) Asset Pricing, 2nd edn, Princeton University Press, Princeton, NJ.
   Google Scholar
• Cragg, J. G. (1997) Using higher moments instruments to estimate the simple errors-in-variables model, Rand Journal of Economics, 28, S71–S91.
   Web of Science ®Google Scholar
• Dagenais, M. G. and Dagenais, D. L. (1994) GMM estimators for linear regression models with errors in the variables. Working Paper No. 94-04, CRDE, Université de Montréal, Montréal, QC.
   Google Scholar
• Dagenais, M. G. and Dagenais, D. L. (1997) Higher moment estimators for linear regression models with errors in the variables, Journal of Econometrics, 76, 193–221.
   Web of Science ®Google Scholar
• Disyatat, P. 2010. The bank lending channel revisited, Working Paper No. 297, Bank for International Settlements, Basel. 
   Google Scholar
• Do, V., Faff, R. and Wickramanayake, J. (2005) An empirical analysis of hedge fund performance: the case of Australian hedge funds industry, Journal of Multinational Financial Management, 15, 377–93.
   Google Scholar
• Durbin, J. (1954) Errors in variables, International Statistical Review, 22, 23–32.
   Google Scholar
• Estrella, A. and Hardouvelis, G. A. (1991) The term structure as a predictor of real economic activity, Journal of Finance, 46, 555–76.
   Web of Science ®Google Scholar
• Fama, E. F. and French, K. R. (1997) Industry costs of equity, Journal of Financial Economics, 43, 153–93.
   Web of Science ®Google Scholar
• Fama, E. F. and French, K. R. (1998) Value versus growth: the international evidence, Journal of Finance, 53, 1995–9.
   Google Scholar
• Fama, E. and McBeth, J. (1973) Risk, returns and equilibrium: empirical tests, Journal of Political Economy, 81, 607–36.
   Web of Science ®Google Scholar
• Fuller, W. A. 1987. Measurement Error Models, John Wiley & Sons, New York.
   Google Scholar
• Fung, W. and Hsieh, D. A. (1997) Empirical characteristics of dynamic trading strategies: the case of hedge funds, Review of Financial Studies, 10, 275–302.
   Web of Science ®Google Scholar
• Fung, W. and Hsieh, D. A. (2001) The risk in hedge fund strategies: theory and evidence from trend followers, Review of Financial Studies, 14, 313–41.
   Web of Science ®Google Scholar
• Fung, W. and Hsieh, D. A. (2004) Hedge fund benchmarks: a risk based approach, Financial Analysts Journal, 60, 65–80.
   Web of Science ®Google Scholar
• Gambacorta, L. and Marques-Ibanez, D. (2011) The bank lending channel: lessons from the crisis, Working Paper No. 345, Bank for International Settlements, Basel.
   Google Scholar
• Haiss, P. R. (2005) Banks, herding and regulation: a review and synthesis, Working Paper, Europe Institute, Vienna.
   Google Scholar
• Hansen, L. P. (1982) Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029–54.
   Web of Science ®Google Scholar
• Hansen, L. P. and Jagannathan, R. (1997) Assessing specification errors in stochastic discount factor models, Journal of Finance, 52, 557–90.
   Web of Science ®Google Scholar
• Hausman, J. A. (1978) Specification tests in econometrics, Econometrica, 46, 1251–71.
   Web of Science ®Google Scholar
• Heuson, A. J. and Hutchinson, M. C. (2012) Which hedge fund managers deliver alpha? Assessing performance when returns are skewed. Working Paper, University of Miami, Coral Gables, FL.
   Google Scholar
• Hirshleifer, D. and Teoh, S. H. (2003) Herd-behaviour and cascading in capital markets: a review and synthesis, European Financial Management, 9, 25–66.
   Google Scholar
• Jarrow, R. and Protter, P. (2013) Positive alphas, abnormal performance and illusory arbitrage, Mathematical Finance, 23, 39–56.
   Web of Science ®Google Scholar
• Joenväärä, J., Kosowski, R. and Tolonen, P. (2012) Revisiting stylized factors about Hedge Funds, Working Paper  No. 10, Imperial College, London Business School, London.
   Google Scholar
• Kan, R. and Robotti, C. (2009) Model comparison using the Hansen-Jagannathan distance, Review of Financial Studies, 22, 3449–90.
   Web of Science ®Google Scholar
• Lettau, M. and Ludvigson, S. (2001) Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying, Journal of Political Economy, 109, 1238–87.
   Web of Science ®Google Scholar
• Lewbel, A. (1997) Constructing instruments for regressions with measurement error when no additional data are available, with an application to patents and R&D, Econometrica, 65, 1201–13.
   Web of Science ®Google Scholar
• MacKinnon, J. G. (1992) Model specification tests and artificial regressions, Journal of Economic Literature, 30, 102–46.
   Web of Science ®Google Scholar
• Malevergne, Y. and Sornette, D. (2005) Higher-moment portfolio theory: capitalizing on behavioural anomalies of stock markets, Journal of Portfolio Management, 31, 49–55.
   Web of Science ®Google Scholar
• McGuire, P., Remolona, E. and Tsatsaronis, K. (2005) Time-varying exposures and leverage in hedge funds, BIS Quarterly Review, 1, 59–72.
   Google Scholar
• Meng, J. G., Hu, G. and Bai, J. (2011) Olive: a simple method for estimating betas when factors are measured with errors, Journal of Financial Research, 34, 27–60.
   Google Scholar
• Pagan, A. R. (1984) Econometric issues in the analysis of regressions with generated regressors, International Economic Review, 25, 221–47.
   Web of Science ®Google Scholar
• Pagan, A. R. (1986) Two stage and related estimators and their applications, Review of Economic Studies, 53, 517–38.
   Web of Science ®Google Scholar
• Pal, M. (1980) Consistent moment estimators of regression coefficients in the presence of errors in variables, Journal of Econometrics, 14, 349–64.
   Web of Science ®Google Scholar
• Pindyck, R. S. and Rubinfeld, D. L. (1998) Econometric Models and Economic Forecasts, 4th edn, Irwin-McGraw-Hill, New York.
   Google Scholar
• Racicot, F. E. (1993) Techniques alternatives d’estimation et tests en présence d’erreur de mesure sur les variables explicatives, M.Sc. thesis, Department of Economics, University of Montreal. Available at https://papyrus.bib.umontreal.ca/jspui/bitstream/1866/1076/1/a1.1g638.pdf (accessed 25 November 2012).
   Google Scholar
• Racicot, F. E. and Théoret, R. (2012) Optimally weighting higher moment instruments to deal with measurement errors in financial return models, Applied Financial Economics, 22, 1135–46.
   Google Scholar
• Roll, R. (1977) A critique of asset pricing theory’s test: part 1, Journal of Financial Economics, 4, 129–76.
   Web of Science ®Google Scholar
• Schaub, N. and Schmid, M. (2013) Hedge fund liquidity and performance: evidence from the financial crisis, Journal of Banking and Finance, 37, 671–92.
   Web of Science ®Google Scholar
• Shanken, J. (1992) On the estimation of beta-pricing models, Review of Financial Studies, 5, 1–34.
   Web of Science ®Google Scholar
• Sharpe, W. F. (1992) Asset allocation: management style and performance measurement, Journal of Portfolio Management, 18, 7–19.
   Web of Science ®Google Scholar
• Shleifer, A. and Vishny, R. (2011) Fire sales in finance and macroeconomics, Journal of Economic Perspectives, 25, 29–48.
   Web of Science ®Google Scholar
• Spencer, D. E. and Berk, K. N. (1981) A limited information specification test, Econometrica, 49, 1079–85.
   Web of Science ®Google Scholar
• Stuart, A. and Ord, K. (1994) Kendall’s Advanced Theory of Statistics, vol. 1, Arnold, London. 
   Google Scholar
• White, H. (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity, Econometrica, 48, 817–38.
   Web of Science ®Google Scholar
• White, H. (1984) Asymptotic Theory for Econometricians, Academic Press, New York.
   Google Scholar
• White, H. (2001) Asymptotic Theory for Econometricians, 2nd edn, Academic Press, New York.
   Google Scholar