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Keywords: Comovement
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2011) 38 (1): 101–119.
Published: 16 December 2011
... to investigate the comovement of hedge fund index returns. Design/methodology/approach The paper identifies broad hedge fund investment strategies using data from the Dow Jones Credit Suisse Hedge Fund Database. It examines the return comovement using the cross‐sectional volatility, covariance...
