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Multi-Period Performance Persistence Analysis of Hedge Funds

Citations

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Cited by:

  1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
  2. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
  3. Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 525-548.
  4. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
  5. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Center for Research in Economics and Statistics.
  6. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "A new efficiency test for ranking investments: Application to hedge fund performance," Economics Letters, Elsevier, vol. 181(C), pages 203-207.
  7. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  8. Do, Viet & Faff, Robert & Wickramanayake, J., 2005. "An empirical analysis of hedge fund performance: The case of Australian hedge funds industry," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 377-393, October.
  9. Cumming, Douglas & Dai, Na & Haß, Lars Helge & Schweizer, Denis, 2012. "Regulatory induced performance persistence: Evidence from hedge funds," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1005-1022.
  10. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
  11. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
  12. A. Harri & B. W. Brorsen, 2004. "Performance persistence and the source of returns for hedge funds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 131-141.
  13. Huang, Jing-Zhi & Huang, Zhijian (James), 2020. "Testing moving average trading strategies on ETFs," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 16-32.
  14. Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2016. "Cutthroats or comrades: Information sharing among competing fund managers," MPRA Paper 71506, University Library of Munich, Germany.
  15. Gökçe Soydemir & Jan Smolarski & Sangheon Shin, 2014. "Hedge funds, fund attributes and risk adjusted returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 133-149, January.
  16. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  17. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
  18. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
  19. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
  20. Sameen Fatima & Christopher Gan & Baiding Hu, 2022. "Volatility Spillovers between Stock Market and Hedge Funds: Evidence from Asia Pacific Region," JRFM, MDPI, vol. 15(9), pages 1-39, September.
  21. Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.
  22. Luis Muga & Adriana Rodriguez & Rafael Santamaría, 2007. "Persistence in Mutual Funds in Latin American Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(1), pages 1-37, January.
  23. Jiaqi Chen & Michael Tindall & Wenbo Wu, 2016. "Hedge Fund Return Prediction and Fund Selection: A Machine-Learning Approach," Occasional Papers 16-4, Federal Reserve Bank of Dallas.
  24. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2010. "Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation," Journal of Finance, American Finance Association, vol. 65(1), pages 217-255, February.
  25. Zura Kakushadze, 2015. "A Spectral Model of Turnover Reduction," Econometrics, MDPI, vol. 3(3), pages 1-13, July.
  26. Shailesh Chandra & Vivek Mishra, 2024. "Framework for Rail Transport Inequality Assessment: A Case Study of the Indian Railway Zones with Superfast Express (SE) Trains," Sustainability, MDPI, vol. 16(18), pages 1-22, September.
  27. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
  28. Gregory Connor & Sheng Li, 2009. "Market Dispersion and the Profitability of Hedge Funds," Economics Department Working Paper Series n2000109.pdf, Department of Economics, National University of Ireland - Maynooth.
  29. Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2020. "Expectations of reciprocity when competitors share information: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 244-267.
  30. Ergys Islamaj & Maziar Kazemi, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
  31. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
  32. Viet Do & Robert Faff & Madhu Veeraraghavan, 2009. "Do Australian hedge fund managers possess timing abilities?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 27-38.
  33. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  34. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
  35. Chakravarty, Sugato & Xiang, Meifang, 2013. "The international evidence on discouraged small businesses," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 63-82.
  36. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
  37. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
  38. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Detecting performance persistence of hedge funds," Economic Modelling, Elsevier, vol. 47(C), pages 185-192.
  39. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
  40. Zura Kakushadze, 2014. "A Spectral Model of Turnover Reduction," Papers 1404.5050, arXiv.org, revised Nov 2015.
  41. Dai, John & Sundaresan, Suresh, 2009. "Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage," MPRA Paper 16483, University Library of Munich, Germany.
  42. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
  43. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  44. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
  45. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
  46. Ferruz Agudo, Luis & Sarto Marzal, José Luis, 2004. "An analysis of Spanish investment fund performance: some considerations concerning Sharpe's ratio," Omega, Elsevier, vol. 32(4), pages 273-284, August.
  47. Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
  48. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
  49. Sujit Subhash & David Enke, 2019. "Hedge fund replication using strategy specific factors," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-19, December.
  50. Kun Park & Ward Whitt, 2013. "Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups," Annals of Operations Research, Springer, vol. 211(1), pages 357-379, December.
  51. Ardia, David & Boudt, Kris, 2018. "The peer performance ratios of hedge funds," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 351-368.
  52. Li, Sheng & Linton, Oliver, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," LSE Research Online Documents on Economics 24486, London School of Economics and Political Science, LSE Library.
  53. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
  54. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc.
  55. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
  56. Jenke Ter Horst & Marno Verbeek, 2007. "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, vol. 11(4), pages 605-632.
  57. Maiia Sleptcova & Heidi Falkenbach, 2021. "Managerial Skill and European PERE Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 665-690, May.
  58. Marat Molyboga & Christophe L’ Ahelec, 2016. "A simulation-based methodology for evaluating hedge fund investments," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 434-452, October.
  59. Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005. "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(3), pages 493-517, September.
  60. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(4), December.
  61. Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
  62. Zia-ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018. "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 727-747, September.
  63. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
  64. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  65. Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org, revised Mar 2015.
  66. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
  67. Steri, Roberto & Giorgino, Marco & Viviani, Diego, 2009. "The Italian hedge funds industry: An empirical analysis of performance and persistence," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 75-91, February.
  68. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
  69. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
  70. Osinga, Albert Jakob & Schauten, Marc B.J. & Zwinkels, Remco C.J., 2021. "Timing is money: The factor timing ability of hedge fund managers," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 266-281.
  71. Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
  72. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
  73. Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 47-66, March.
  74. Manuel Ammann & Otto Huber & Markus Schmid, 2013. "Hedge Fund Characteristics and Performance Persistence," European Financial Management, European Financial Management Association, vol. 19(2), pages 209-250, March.
  75. Chow, Victor & Lai, Christine W., 2015. "Conditional Sharpe Ratios," Finance Research Letters, Elsevier, vol. 12(C), pages 117-133.
  76. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
  77. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
  78. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
  79. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
  80. R. Gibson Brandon & S. Gyger, 2011. "Optimal hedge fund portfolios under liquidation risk," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 53-67.
  81. Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
  82. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
  83. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
  84. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
  85. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015. "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 868-895.
  86. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.
  87. John Weirstrass Muteba Mwamba, 2017. "An Empirical Evaluation of Hedge Fund Managerial Skills using Bayesian Techniques," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(1), pages 63-82.
  88. Jean-Marc Le Caillec, 2022. "Hypothesis Testing Fusion for Nonlinearity Detection in Hedge Fund Price Returns," Post-Print hal-03739132, HAL.
  89. Rania Hentati-Kaffel & Philippe de Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00984777, HAL.
  90. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
  91. Rania Hentati-Kaffel & Philippe de Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Working Papers hal-00984777, HAL.
  92. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September.
  93. Zia-ur-Rehman Rao & Muhammad Zubair Tauni & Tanveer Ahsan & Muhammad Umar, 2020. "Do mutual funds have consistency in their performance?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(2), pages 139-153, May.
  94. Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
  95. Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
  96. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
  97. Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019. "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers 13618, C.E.P.R. Discussion Papers.
  98. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
  99. Wayne Ferson & Junbo L Wang, 2021. "A Panel Regression Approach to Holdings-Based Fund Performance Measures [Multiperiod performance persistence analysis of hedge funds]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 695-734.
  100. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
  101. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
  102. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.
  103. Gao, Meng & Huang, Jiekun, 2016. "Capitalizing on Capitol Hill: Informed trading by hedge fund managers," Journal of Financial Economics, Elsevier, vol. 121(3), pages 521-545.
  104. Marc N. Atlan & Hélyette Geman & Marc Yor, 2006. "Options on Hedge Funds under the High Water Mark Rule," Working Papers hal-00012382, HAL.
  105. Baquero, G. & Verbeek, M.J.C.M., 2006. "Do Sophisticated Investors Believe in the Law of Small Numbers?," ERIM Report Series Research in Management ERS-2006-033-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  106. Daniel Giamouridis & Sandra Paterlini, 2010. "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 223-247, September.
  107. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
  108. Zura Kakushadze, 2014. "Can Turnover Go to Zero?," Papers 1406.0044, arXiv.org, revised Oct 2014.
  109. Douglas Cumming & Na Dai, 2010. "A Law and Finance Analysis of Hedge Funds," Financial Management, Financial Management Association International, vol. 39(3), pages 997-1026, September.
  110. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
  111. Rajna Gibson & Sébastien Gyger, 2007. "The Style Consistency of Hedge Funds," European Financial Management, European Financial Management Association, vol. 13(2), pages 287-308, March.
  112. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
  113. Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Is It Possible to OD on Alpha?," Papers 1404.0746, arXiv.org, revised Nov 2018.
  114. Charles Cao & Grant Farnsworth & Bing Liang & Andrew W. Lo, 2017. "Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform," Management Science, INFORMS, vol. 63(7), pages 2233-2250, July.
  115. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
  116. Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002. "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Other publications TiSEM 72ffd5bf-9650-4afe-9804-7, Tilburg University, School of Economics and Management.
  117. Yao, Juan & Wu, Bochen & Gao, Yang, 2021. "Death and the life hereafter: A study of the subsequent hedge funds," Finance Research Letters, Elsevier, vol. 40(C).
  118. Richard Chung & Scott Fung & Jayendu Patel, 2015. "Alpha–beta–churn of equity picks by institutional investors and the robust superiority of hedge funds," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 363-405, August.
  119. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
  120. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  121. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
  122. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
  123. Muteba Mwamba, John, 2013. "Posterior outperformance, selectivity and market timing skills in hedge funds: do they persist altogether?," MPRA Paper 64388, University Library of Munich, Germany.
  124. Jank, Stephan & Smajlbegovic, Esad, 2015. "Dissecting short-sale performance: Evidence from large position disclosures," CFR Working Papers 15-15, University of Cologne, Centre for Financial Research (CFR).
  125. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
  126. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  127. Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016. "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, vol. 29(C), pages 2-11.
  128. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
  129. Muteba Mwamba, John, 2014. "Another reason why the efficient market hypothesis is fuzzy," MPRA Paper 64383, University Library of Munich, Germany.
  130. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management ERS-2005-068-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  131. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
  132. Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2006. "Heterogenität von Hedgefondsindizes," Frankfurt School - Working Paper Series 71, Frankfurt School of Finance and Management.
  133. Zura Kakushadze, 2014. "Factor Models for Alpha Streams," Papers 1406.3396, arXiv.org, revised Oct 2014.
  134. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  135. Michał Falkowski & Agata Sierpińska-Sawicz & Piotr Szczepankowski, 2020. "The Effectiveness of Hedge Fund Investment Strategies under Various Market Conditions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 14(2), June.
  136. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
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