Mendes-Ribeiro, Mafalda

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Mendes-Ribeiro

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Mafalda

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Mafalda Mendes-Ribeiro

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Luisa Mafalda Matos Ferreira Mendes Ribeiro (Mendes-Ribeiro, M.). Phd in Finance at Universidade Portucalense Infante Dom Henrique (2011). Assistant Professor at Universidade Portucalense, Porto, Portugal. Published 8 papers with blind peer review. Guest Speaker in several Conferences abroad and in Portugal. Researcher in Complex Finantial Instruments (CFI), Financial Supervision in CFI, Gender Enterpreneurship, Nature Tourism, Migrants and Refugies Integration.

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0000-0002-5687-2727
821D-14A1-4B4E
P-6826-2017

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Subject: Average monthly returnsSubject: Management incentive feesDocument Type: journal articleLanguage: engAuthor: Mendes-Ribeiro, MafaldaHas files: true

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    PublicationOpen Access
    Is Blash possible in Hedge Funds? An approach to Seasonality
    2010 - Machado-Santos, Carlos; Mendes-Ribeiro, Mafalda
    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.