Browsing by Author "Lynch, Margaret"

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Are fund of hedge fund returns asymmetric?

Lynch, Margaret ; Hutson, Elaine ; Stevenson, Max (University College Dublin. School of Business. Centre for Financial Markets, 2004)

We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. ...
The distributional characteristics of funds of hedge fund returns

Hutson, Elaine ; Lynch, Margaret ; Stevenson, Max (Butterworth-Heinemann, 2006)
Volume and skewness in international equity markets

Hutson, Elaine ; Kearney, Colm ; Lynch, Margaret (Elsevier, 2008)

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation ...