Boise State News February 26, 2021
Qiping (Jimmy) Huang
Qiping (Jimmy) Huang and Yongjia (Eddy) Li, both assistant professors in the Department of Finance, presented their paper “Hedge Fund Beta Returns as Predictors of Future Performance” at the virtual Financial Management Association Conference.
Their paper decomposes hedge fund returns into alpha and beta return components. It determines that portfolios sorted by beta return display a strong monotonic mean reversal pattern. Funds in the lowest quartile of beta return report superior performance in out-of-sample tests.
Yongjia (Eddy) Li
Beta return is a strong predictor of future fund performance and is not driven by systematic risk, idiosyncratic risk, total risk, alpha or R-squared. Beta returns are predictive regardless of model specification, and results are robust to fund-specific controls.
Boise State News February 26, 2021
Department of Finance assistant professors Qiping (Jimmy) Huang, Yongjia (Eddy) Li and Garrett McBrayer co-authored “Natural Disasters, Risk Salience, and Corporate ESG Disclosure” with Georgia Southern University’s Meimei Lin. The paper was presented at the virtual 2020 Green and Ethical Finance Conference hosted by Singapore Management University. After the presentation, the paper was invited to be submitted to a special issue of the Journal of Banking and Finance.
Additionally, the paper was accepted for presentation at the virtual 2020 Boca Corporate Finance and Governance Conference.