Multiple Moderation Process of the Tail-Risk Hedging Managers

AUTHORS

Joung Keun Cho,Institutional Advisory to QCAM Currency Asset Management AG, U.S. Tax Advisory to Sellymon.com Assistant Professor of Finance, School of Business, Seokyeong University, 714 Hanlim Hall, 124 Seokyeong-ro, Seoul 02713, Korea

ABSTRACT

One-month prior market momentum factor’s mediation on the contemporaneous excess market return’s effect on the current performance of certain hedge fund investment styles through one-month prior VIX level as the first moderator is moderated if the indirect effect of the one-month prior market momentum factor depends on the size of the returns of one-month prior VIX as the second moderator. This manuscript advances the literature by applying quantitative approaches to financial time-series by estimating and making inferences about the conditional process models with more than one moderator. We subsequently show how to test if a market risk factor’s indirect effect on the returns of various hedge fund investment style is moderated by one variable when these two moderators are switching their primary and the secondary seats of dependency roles.

 

KEYWORDS

Conditional moderated mediation effect, Indirect effect, Hedge fund investment style index

REFERENCES

[1]     Barroso P. and P. Santa-Clara., “Momentum has its moments.” Journal of Financial Economics, vol.116, no.1, pp.111-120, (2015) 10.1016/j.jfineco.2014.11.010,
[2]     Cho J.K., “Information content of the VKOSPI entropy indicator - a dynamic asset allocation approach.” International Information Interdisciplinary Journal, vol.20, no.7(B), July, (2017)
[3]     Cho J.K., “Implied equity volatility and liquid alternative hedge fund investing by qualified Korean investors.” International Information Interdisciplinary Journal, vol.20, no.10(B), October, (2017)
[4]     Cho J.K., “Qualified Korean investors’ liquid alternative global hedge fund investing under autocorrelation effects.” Journal of Economic Studies (Korean), vol.35, no.2, May, (2017)
[5]     Agarwal V. and Naik, N.Y. “Risk and portfolio decisions involving hedge funds.” Review of Financial Studies, vol.17, no.1, pp.63-98, (2004) DOI: 10.1093/rfs/hhg044(CrossRef)(Google Scholar)
[6]     Cho J.K. and Kim, G.W., “Making a bet at a right time: style and volatility timing abilities of Korean equity hedge funds.” Asset Management Review, vol.5, no.2, December, http://hdl.handle.net/10203/241118, (2017)
[7]     Ang A., Hodrick R.J., Xing Y., and Zhang X., “High idiosyncratic volatility and low returns: international and further U.S. evidence.” Journal of Financial Economics, vol.91, no.1, pp.1-23, (2009) DOI: 10.3386/w13739(CrossRef)(Google Scholar)

CITATION

  • APA:
    Cho,J.K.(2020). Multiple Moderation Process of the Tail-Risk Hedging Managers. World Journal of Accounting, Finance and Engineering, 4(1), 15-22. 10.21742/WJAFE.2020.4.1.02
  • Harvard:
    Cho,J.K.(2020). "Multiple Moderation Process of the Tail-Risk Hedging Managers". World Journal of Accounting, Finance and Engineering, 4(1), pp.15-22. doi:10.21742/WJAFE.2020.4.1.02
  • IEEE:
    [1] J.K.Cho, "Multiple Moderation Process of the Tail-Risk Hedging Managers". World Journal of Accounting, Finance and Engineering, vol.4, no.1, pp.15-22, May. 2020
  • MLA:
    Cho Joung Keun. "Multiple Moderation Process of the Tail-Risk Hedging Managers". World Journal of Accounting, Finance and Engineering, vol.4, no.1, May. 2020, pp.15-22, doi:10.21742/WJAFE.2020.4.1.02

ISSUE INFO

  • Volume 4, No. 1, 2020
  • ISSN(p):2208-8512
  • ISSN(e):2208-8520
  • Published:May. 2020

DOWNLOAD