User profiles for D. A. Hsieh

David Arthur Hsieh

Professor of Finance, Fuqual School of Business, Duke University
Verified email at duke.edu
Cited by 19937

Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases

W Fung, DA Hsieh - Journal of Financial and Quantitative analysis, 2000 - cambridge.org
… This paper updates the results of Fung and Hsieh (1997b) by adding two more years of
data. Between 1989 and 1997, the observable portfolio returned, on average, 15.5% per year, …

Chaos and nonlinear dynamics: application to financial markets

DA Hsieh - The journal of finance, 1991 - Wiley Online Library
After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially
deterministic chaotic dynamics, has increased in both the financial press and the academic …

[BOOK][B] Nonlinear dynamics, chaos, and instability: statistical theory and economic evidence

WA Brock, DA Hsieh, BD LeBaron - 1991 - books.google.com
… By providing a unified and complete explanation of new statistical methods that are useful
for testing for chaos in data sets, Brock, Hsieh, and LeBaron show how the principles of chaos …

The risk in hedge fund strategies: Theory and evidence from trend followers

W Fung, DA Hsieh - The review of financial studies, 2001 - academic.oup.com
Hedge fund strategies typically generate option-like returns. Linear-factor models using
benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten …

Empirical characteristics of dynamic trading strategies: The case of hedge funds

W Fung, DA Hsieh - The review of financial studies, 1997 - academic.oup.com
This article presents some new results on an unexplored dataset on hedge fund performance.
The results indicate that hedge funds follow strategies that are dramatically different from …

Hedge fund benchmarks: A risk-based approach

W Fung, DA Hsieh - Financial Analysts Journal, 2004 - Taylor & Francis
Hsieh (1997b), we extracted a common return component from trend-following funds. In Fung
and Hsieh … Subsequently, we showed (Fung and Hsieh 2002a) that this analysis continued …

Modeling heteroscedasticity in daily foreign-exchange rates

DA Hsieh - Journal of Business & Economic Statistics, 1989 - Taylor & Francis
This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized
ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of …

Testing for nonlinear dependence in daily foreign exchange rates

DA Hsieh - Journal of Business, 1989 - JSTOR
Hsieh, DA 1987. Modeling heteroskedasticity in daily foreign … Hsieh, DA 1988a. The statistical
properties of daily foreign exchange rates… Hsieh, DA 1988b. A nonlinear stochastic rational …

An exploratory investigation of the firm size effect

KC Chan, N Chen, DA Hsieh - Journal of Financial Economics, 1985 - Elsevier
We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-factor
pricing model. The risk-adjusted difference in returns between the top five percent and the …

The statistical properties of daily foreign exchange rates: 1974–1983

DA Hsieh - Journal of international economics, 1988 - Elsevier
This paper examines the statistical properties of daily rates of change of five foreign
currencies from 1974 to 1983. The main purpose is to discriminate between two competing …