Trend reversal and alpha generation by hedge funds

• Published in: Applied economics Vol. 55; no. 35; pp. 4037 - 4059
• Main Authors: Bhargava, Vivek, Chaudhry, Mukesh K.
• Format: Journal Article
• Language: English
• Published: London Routledge 27.07.2023; Taylor & Francis Ltd
• Subjects: and G23; Economic analysis; Economic theory; Hedge funds; Prospects; Random walk; structural breaks; Time series

Hedge funds use different strategies to outperform benchmark indices by undertaking complex, versatile and dynamic techniques. These strategies may however create alpha generating opportunities in the time series that may be contrary to the existence of random walk behaviour. Tests using unit-root s...