haku: @indexterm Hedging / yhteensä: 349
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| Tekijä: | Kosowski, R. Naik, N.Y. Teo, M. |
| Otsikko: | Do hedge funds deliver alpha? A Bayesian and bootstrap analysis |
| Lehti: | Journal of Financial Economics
2007 : APR, VOL. 84:1, p. 229-264 |
| Asiasana: | stock markets hedging funds models |
| Vapaa asiasana: | performance |
| Kieli: | eng |
| Tiivistelmä: | Based on a robust bootstrap procedure, it is found that top hedge fund (here as: h-f.) performance (as: perf.) cannot be explained by luck, and h-f. perf. persists at annual horizons. Furthermore, it is shown that Bayesian measures lead to superiour performance predictability. Sorting on Bayesian alphas, relative to OLS alphas, yields a 5.5 percent annual increase in the alpha of the spread btw. the top and bottom h-f. deciles etc. |
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