haku: @indexterm Hedging / yhteensä: 349
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| Tekijä: | Horst, J.T. Verbeek, M. |
| Otsikko: | Fund liquidation, self-selection, and look-ahead bias in the hedge fund industry |
| Lehti: | Review of finance
2007 : DEC, VOL. 11:4, p. 605-632 |
| Asiasana: | financial markets hedging funds liquidity |
| Kieli: | eng |
| Tiivistelmä: | Hedge fund (hereafter as: h-fds.) databases suffer from empirical biases. This paper focuses on survival-related biases and disentangle look-ahead biases (here as: l-a-bs.) due to self-selection (as: s-sel.) of funds and due to fund termination. This paper analyzes persistence in h-fds. performance from 1994 to 2000, taking into account the above biases. It is shown that l-a-bs. due to liquidation and s-sel. enforce each other, possibly leading to over-estimating expected returns by as much as 8 percent annually. In general, the results are consistent with positive persistence in h-fds. returns etc. |
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