Are unconventional monetary policies a priced risk factor for hedge fund strategies? - Guidolin, Massimo,Orlov, Alexei G. (BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, 2020)
ftp://ftp.unibocconi.it/pub/RePEc/baf/papers/cbafwp20146.pdf
Keywords: Graue Literatur; Hedge fund strategies; unconventional monetary policy; risk factors; modified event studies; Markov switching models; breakpoint tests