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Why Do Hedge Funds Stop Reporting Their Performance?

Author

Listed:
  • Alex Grecu

    (Analysis Group)

  • Burton G. Malkiel

    (Princeton University)

  • Atanu Saha

    (Analysis Group)

Abstract

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data gathering services. Academic studies have suggested that poor or failing funds stop reporting while industry analysts suggest that better performing funds cease reporting because they no longer need to attract new capital. Using the TASS data set, we find that hedge funds' returns are significantly worse at the end of their reporting live. We then use survival time analysis techniques to examine the funds? time to failure and changes in the hazard rate (i.e., the probability of failure) over time. We also estimate the effects of funds' performance, size, and other characteristics on the hazard rate. Consistent with the finding on funds' returns at the end of their reporting lives, we find that better performing and larger hedge funds have lower hazard rates.

Suggested Citation

  • Alex Grecu & Burton G. Malkiel & Atanu Saha, 2006. "Why Do Hedge Funds Stop Reporting Their Performance?," Working Papers 78, Princeton University, Department of Economics, Center for Economic Policy Studies..
    • Handle: RePEc:pri:cepsud:124
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    hedge funds; Lipper Hedge Fund Database; TASS;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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