Is Blash possible in Hedge Funds? An approach to Seasonality

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dc.contributor.authorMachado-Santos, Carlos
dc.contributor.authorMendes-Ribeiro, Mafalda
dc.date.accessioned2017-03-14T11:45:21Z
dc.date.available2017-03-14T11:45:21Z
dc.date.issued2010
dc.description.abstractSeasonality 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.pt_PT
dc.identifier.citationMendes­-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, http://hdl.handle.net/11328/1770pt_PT
dc.identifier.doihttp://dx.doi.org/10.2139/ssrn.1648940pt_PT
dc.identifier.urihttp://hdl.handle.net/11328/1770
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSSRNpt_PT
dc.relation.publisherversionhttp://ssrn.com/abstract=1648940pt_PT
dc.rightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectHedge fundspt_PT
dc.subjectAverage monthly returnspt_PT
dc.subjectAnnual returnspt_PT
dc.subjectManagement incentive feespt_PT
dc.subjectSeasonalitypt_PT
dc.titleIs Blash possible in Hedge Funds? An approach to Seasonalitypt_PT
dc.typejournal articlept_PT
degois.publication.firstPage1pt_PT
degois.publication.lastPage30pt_PT
degois.publication.titleInternational Research Journal of Applied Financept_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameMendes-Ribeiro
person.givenNameMafalda
person.identifier.ciencia-id821D-14A1-4B4E
person.identifier.orcid0000-0002-5687-2727
person.identifier.ridP-6826-2017
relation.isAuthorOfPublicationd0359c37-3b3f-4936-a81c-3a0b88e11cd8
relation.isAuthorOfPublication.latestForDiscoveryd0359c37-3b3f-4936-a81c-3a0b88e11cd8

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