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Influence of Selected Factors on Hedge Fund Return

In: New Trends in Finance and Accounting

Author

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  • Stanislav Hába

    (University of Economics, Prague)

Abstract

This paper deals with a unique form of an alternative investment: hedge funds. Specifically, the paper researches the influence of certain factors on hedge fund returns. Specifically, four factors are tested: (1) inclusion of funds into market hedge fund index, (2) possibility to close to new investors, (3) type and level of charged fees and (4) reporting delay/concealment. The data are compiled for more than 4000 funds for 23 years and cover all types and statuses of hedge funds. The most important results found no significant additional yield for increased remuneration for fund administration. Additionally, the regression confirmed the hypothesis of the time return decay in most hedge funds (so-called backfill bias). The other two hypotheses of market inclusion and openness to new capital have not been validated on a significant level. Throughout the whole text, the paper describes typical problems that are connected with hedge funds and their respective data.

Suggested Citation

  • Stanislav Hába, 2017. "Influence of Selected Factors on Hedge Fund Return," Springer Proceedings in Business and Economics, in: David Procházka (ed.), New Trends in Finance and Accounting, chapter 0, pages 139-148, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-49559-0_13
    DOI: 10.1007/978-3-319-49559-0_13
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