Chapter 29. An Empirical Analysis of Short-Biased Hedge Funds’ Risk-Adjusted Performance
A Panel Approach
Greg N. Gregoriou and Razvan Pascalau
This chapter investigates the risk-adjusted performance of hedge funds that follow a short-biased strategy. We use the Fung and Hsieh (2004a)
approach to adjust for risk and compute short-biased funds' abnormal returns. The study uses rollover regressions of blocks of 4 years' worth of monthly observations by updating the sample at every 3 months over the January 2000–December 2008 period. The chapter documents that short-biased funds' ...