1.A+B Legal Structure of Hedge Funds
Shadab, H. B., 2009, The law and economics of hedge funds: Financial innovation and investor protection, Berkeley Business Law Journal 6, 240.
Lhabitant, F. S., 2011, Handbook of hedge funds, John Wiley & Sons.
Connor, G., and M. Woo, 2004, An introduction to hedge funds, Discussion Paper 477, London School of Economics and Political Science.
Fung, W., and D. A. Hsieh, 1999, A primer on hedge funds, Journal of Empirical Finance 6, 309-331.
Lo, Andrew W. 2008, Hedge funds, Princeton University Press.
2.A+B Hedge Fund Data Sources (Standard Databases, e.g. Barclays)
Agarwal, Vikas, Vyacheslav Fos, and Wei Jiang, 2013, Inferring reporting- related biases in hedge fund databases from hedge fund equity holdings, Management Science 59, 1271-1289.
Straumann, D., 2009, Measuring the quality of hedge fund data, Journal of Alternative Investments, 12, 26-40.
Fung, W., and D. A. Hsieh, 2009, Measurement biases in hedge fund performance data: an update, Financial Analysts Journal 65, 36-38.
Von Lilienfeld-Toal, Ulf, and Jan Schnitzler, 2014, What is special about hedge fund activism? Evidence from 13-D filings, Working Paper, Stockholm School of Economics.
Patton, A. J., T. Ramadorai, and M. Streatfield, 2015, Change you can believe in? Hedge fund data revisions, Journal of Finance 70, 963-999.
3.A+B Hedge Fund Trading Strategies
Fung, W., and D. A. Hsieh, 1997, Empirical characteristics of dynamic trading strategies: The case of hedge funds, Review of Financial Studies 10, 275-302.
Stefanini, F., 2010, Investment strategies of hedge funds, John Wiley and Sons.
Fung, W., and D. A. Hsieh, 2001, The risk in hedge fund strategies: Theory and evidence from trend followers. Review of Financial Studies 14, 313-341.
Ding, B., and H. A. Shawky, 2007, The performance of hedge fund strategies and the asymmetry of return distributions, European Financial Management 13, 309-331.
Ding, B., H. A. Shawky, and J. Tian, 2009, Liquidity shocks, size and the relative performance of hedge fund strategies, Journal of Banking and Finance 33, 883-891.
4.A+B Risk Management
Lo, A. W., 2001, Risk management for hedge funds: Introduction and overview, Financial Analysts Journal 57, 16-33.
Panageas, Stavros, and Mark M. Westerfield, 2009, High-water marks: High risk appetites? Convex compensation, long horizons, and portfolio choice, Journal of Finance 64, 1-36.
Agarwal, V., and N. Y. Naik, 2004, Risks and portfolio decisions involving hedge funds, Review of Financial Studies 17, 63-98.
Li, C. Wei, and Ashish Tiwari, 2009, Inventive contracts in delegated portfolio management, Review of Financial Studies 22, 4681-4714.
Agarwal, Vikas, Naveen D. Daniel, and Narayan Y. Naik, 2009, Role of managerial incentives and discretion in hedge fund performance, Journal of Finance 64, 2221−2256.
5.A+B Optimal Risk-Taking Models
Agarwal, V., and N. Y. Naik, 2000, On taking the “alternative” route: the risks, rewards, and performance persistence of hedge funds, Journal of Alternative Investments 2, 6-23.
Hodder, J. E., and J. C. Jackwerth, 2007, Incentive contracts and hedge fund management, Journal of Financial and Quantitative Analysis 42, 811-826.
Carpenter, Jennifer N., 2000, Does option compensation increase managerial risk appetite?, Journal of Finance 55, 2311-2331.
Basak, Suleyman, Anna Pavlova, and Alex Shapiro, 2006, Optimal asset allocation and risk shifting in money management, Working Paper, London Business School.
Fung, W., and D. A. Hsieh, 2001, The risk in hedge fund strategies: Theory and evidence from trend followers, Review of Financial Studies 14, 313-341.
6.A+B Markets, Securities, and Styles
Teo, Melvyn, 2009, Does size matter in the hedge fund industry?, Working Paper, Singapore Management University.
Chen, Y., and B. Liang, 2007, Do market timing hedge funds time the market?, Journal of Financial and Quantitative Analysis 42, 827-856.
Fung, W., and D. A. Hsieh, 2002, Risk in fixed-income hedge fund styles, Journal of Fixed Income 12, 6-27.
Asness, C. S., R. J. Krail, and J. M. Liew, 2001, Do hedge funds hedge?, Journal of Portfolio Management 28, 6-19.
Liang, Bing, 2003, On the performance of alternative investments: CTAs, hedge funds, and funds-of-funds, Working Paper, University of Massachusetts Amherst.
7.A+B Performance Measurement
Capocci, D., and G. Hübner, 2004, Analysis of hedge fund performance, Journal of Empirical Finance 11, 55-89.
Sortino, Frank A, and Robert van der Meer, 1991, Downside risk, Journal of Portfolio Management 17, 27-31.
Eling, Martin, and Frank Schuhmacher, 2007, Does the choice of performance measure influence the evaluation of hedge funds?, Journal of Banking and Finance 31, 2632-2647.
Sun, Zheng, Ashley Wang, and Lu Zheng, 2011, The road less traveled: Strategy distinctiveness and hedge fund performance, Working Paper, University of California at Irvine.
Fung, W., and D. A. Hsieh, 2009, Measurement biases in hedge fund performance data: An update, Financial Analysts Journal 65, 36-38.
8.A+B Factor Models
Namvar, Ethan, Blake Phillips, Kuntara Pukthuanthong, and P. Raghavendra Rau, 2013, Do hedge funds dynamically manage systemic risk, Working Paper, Haas School of Business.
Tuchschmid, Nils, Erik Wallerstein, and Zaker Sassan, 2009, What if alpha is just polished beta? On asset allocation and fund of funds, Working Paper, University of Applied Sciences Western Switzerland.
Fung William and David A. Hsieh, 2004, Hedge fund benchmarks: A risk-based approach, Financial Analysts Journal 60, 65-80.
Darolles, S., and G. Mero, 2011, Hedge fund returns and factor models: A cross-sectional approach, Working Paper, Université Paris Dauphine.
Baillie, R. T., G. G. Booth, Y. Tse, and T. Zabotina, 2002, Price discovery and common factor models, Journal of Financial Markets 5, 309-321.
9.A+B Does Alpha exist?
Kao, D. L., 2002, Battle for alphas: Hedge funds versus long-only portfolios, Financial Analysts Journal 58, 16-36.
Fama, Eugene F, and Kenneth R French, 2010, Luck versus skill in the cross section of mutual fund returns, Journal of Finance 65, 1915-1947.
Fung, William, David A. Hsieh, Narayan Y. Naik, and Tarun Ramadorai, 2008, Hedge funds: Performance, risk, and capital formation, Journal of Finance 63, 1777–1803.
Kosowski, R., N. Y. Naik, and M. Teo, 2007, Do hedge funds deliver alpha? A bayesian and bootstrap analysis, Journal of Financial Economics, 84, 229-264.
Ibbotson, R. G., P. Chen, and K. X. Zhu, 2011, The ABCs of hedge funds: Alphas, betas, and costs, Financial Analysts Journal 67, 15-25.
10.A+B Cheating and Manipulation
Agarwal, Vikas, Naveen D. Daniel, and Narayan Y. Naik, 2011, Do hedge funds manage their reported returns?, Review of Financial Studies 24, 3281-3320.
Getmansky, Mila, Andrew W. Lo, and Igor Makarov, 2004, An econometric model of serial correlation and illiquidity in hedge fund returns, Journal of Financial Economics 74, 529–609.
Dimmock, Stephen G., and William C. Gerken, 2013, Mandatory registration and return misreporting by hedge funds, Working Paper, Nanyang Technological University.
Bollen, Nicolas P. B., and Veronika K. Pool, 2009, Do hedge fund managers misreport returns? Evidence from the pooled distribution, Journal of Finance 64, 2257-2288.
Ben-David I., F. Franzoni, A. Landier, and R. Moussawi, 2013, Do hedge funds manipulate stock prices?, Journal of Finance 68, 2383-2434.
11.A+B Fund Flow
Getmansky, M., 2012, The life cycle of hedge funds: Fund flows, size, competition, and performance, Quarterly Journal of Finance 2, 1-53.
Ben-David, I., F. Franzoni, and R. Moussawi, 2011, Hedge fund stock trading in the financial crisis of 2007-2009, Review of Financial Studies 25, 1-54.
Agarwal, V., N. D. Daniel, and N. Y. Naik, 2004, Flows, performance, and managerial incentives in hedge funds, Working Paper, Georgia State University.
Ding, B., M. Getmansky, B. Liang, C. Schwarz, and R. Wermers, 2015, Investor flows and share restrictions in the hedge fund industry, SSRN eLibrary.
Chen, J., S. Hanson, H. Hong, and J. C. Stein, 2008, Do hedge funds profit from mutual-fund distress?, Working Paper 13786, National Bureau of Economic Research.