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
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