Resource List

  • On the Market-Timing Ability of Factor-Based Hedge Fund Clones
    Brian T. Hayes
    Journal of Alternative Investments. 2012.
    Vol. 15, no. 1, pp. 8-42.
    Hedge fund clones systematically mimic features of hedge fund returns. The author constructs clones of hedge fund indexes using several factor models and estimation intervals. Exposures of clones to asset and style factors vary over time, and excess...
  • Private and Public Real Estate: What Is the Link?
    Dan Stefek and Raghu Suryanarayanan
    Journal of Alternative Investments. 2012.
    Vol. 14, no. 3, pp. 66-75.
    investments include core real estate—the passive management of existing income generating properties—as well as value-added and opportunistic investments that focus on the active development of existing and new properties. Both forms of investment...
  • The Efficiency of the VIX Futures Market: A Panel Data Approach
    Athanasios P. Fassas and Costas Siriopoulos
    Journal of Alternative Investments. 2012.
    Vol. 14, no. 3, pp. 55-65.
    This article examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has...
  • Comparison of Futures Pricing Models for Carbon Assets and Traditional Energy Commodities
    Takashi Kanamura
    Journal of Alternative Investments. 2012.
    Vol. 14, no. 3, pp. 42-54.
    This article explores the classification of carbon futures, often considered to be a type of energy commodity futures from the energy-emission relationship, by examining the characteristics of carbon futures prices. The author presents a carbon...
  • The Rise and Fall (?) of Shareholder Activism by Hedge Funds
    John Armour and Brian Cheffins
    Journal of Alternative Investments. 2012.
    Vol. 14, no. 3, pp. 17-27.
    Shareholder activism by hedge funds became a major corporate governance phenomenon in the United States in the 2000s. This article puts the trend into context by introducing a heuristic device referred to as “the market for corporate influence” to...