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Title: Is Blash possible in Hedge Funds? An approach to Seasonality
Authors: Mendes­-Ribeiro, Mafalda
Machado-Santos, Carlos
Keywords: Hedge funds
Average monthly returns
Annual returns
Management incentive fees
Issue Date: 2010
Publisher: SSRN
Citation: Mendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT,
Abstract: Seasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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