An empirical analysis of hedge fund performance: The case of Australian hedge funds industry

Viet Do, Robert Faff*, J. Wickramanayake

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

17 Citations (Scopus)

Abstract

This study empirically investigates the performance of Australian hedge funds by extending and modifying [Capocci, D., Hubner, G., 2004. Analysis of hedge funds performance. Journal of Empirical Finance 11, 55-89]. model. This model performs better in explaining Australian hedge fund returns than the traditional Fama and French three-factor model. The results show that Australian hedge fund returns have low correlation with market indexes and also outperform standard market index returns. We also observe that Australian hedge fund returns are positively related to incentive fees and negatively related to management fees. Further, managers do not have any significant market timing skill and market conditions do not significantly influence hedge fund performance.

Original languageEnglish
Pages (from-to)377-393
Number of pages17
JournalJournal of Multinational Financial Management
Volume15
Issue number4-5
DOIs
Publication statusPublished - Oct 2005
Externally publishedYes

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