IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v43y2008i02p267-298_00.html
   My bibliography  Save this item

Conditional Return Smoothing in the Hedge Fund Industry

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, vol. 14(2), pages 117-135, July.
  3. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
  4. Gavin Cassar & Joseph Gerakos, 2017. "Do risk management practices work? Evidence from hedge funds," Review of Accounting Studies, Springer, vol. 22(3), pages 1084-1121, September.
  5. Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
  6. George O. Aragon & Ji-Woong Chung & Byoung Uk Kang, 2023. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?," Management Science, INFORMS, vol. 69(8), pages 4932-4952, August.
  7. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2010. "Caught in the act: How hedge funds manipulate their equity positions," CFR Working Papers 10-15, University of Cologne, Centre for Financial Research (CFR).
  8. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2010. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08, University of Cologne, Centre for Financial Research (CFR).
  9. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  10. 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.
  11. Joshua van Vuuren & Gary van Vuuren, 2022. "Detecting Investment Fraud Using the Bias Ratio," SAGE Open, , vol. 12(2), pages 21582440221, May.
  12. 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.
  13. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
  14. Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 206-226, July.
  15. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2014. "Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 215-229.
  16. Itzhak Ben‐David & Francesco Franzoni & Augustin Landier & Rabih Moussawi, 2013. "Do Hedge Funds Manipulate Stock Prices?," Journal of Finance, American Finance Association, vol. 68(6), pages 2383-2434, December.
  17. Juha Joenväärä & Robert Kosowski, 2021. "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, vol. 25(1), pages 189-233.
  18. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
  19. Arpit Gupta & Kunal Sachdeva, 2019. "Skin or Skim? Inside Investment and Hedge Fund Performance," NBER Working Papers 26113, National Bureau of Economic Research, Inc.
  20. Nicolas P.B. Bollen & Robert E. Whaley, 2009. "Hedge Fund Risk Dynamics: Implications for Performance Appraisal," Journal of Finance, American Finance Association, vol. 64(2), pages 985-1035, April.
  21. Vikas Agarwal & Vyacheslav Fos & Wei Jiang, 2013. "Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings," Management Science, INFORMS, vol. 59(6), pages 1271-1289, June.
  22. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
  23. Park, Hyuna, 2015. "Emerging market hedge funds in the United States," Emerging Markets Review, Elsevier, vol. 22(C), pages 25-42.
  24. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
  25. Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015. "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 185-226.
  26. 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.
  27. Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015. "Change You Can Believe In? Hedge Fund Data Revisions," Journal of Finance, American Finance Association, vol. 70(3), pages 963-999, June.
  28. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  29. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, September.
  30. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  31. Muhammad Zubair Mumtaz & Zachary Alexander Smith, 2018. "IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(2), pages 165-199, April.
  32. Kim, Tae Yoon & Lee, Hee Soo, 2018. "Does your hedge fund manager smooth returns intentionally or inadvertently?," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 33-40.
  33. 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.
  34. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
  35. 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.
  36. 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.
  37. Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).
  38. Chen, Fan & Qian, Meifen & Sun, Ping-Wen & Yu, Bin, 2018. "In search for managerial skills beyond common performance measures," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 224-239.
  39. Cumming, Douglas & Dai, Na & Johan, Sofia, 2020. "Dodd-Franking the hedge Funds," Journal of Banking & Finance, Elsevier, vol. 119(C).
  40. Dimmock, Stephen G. & Gerken, William C., 2012. "Predicting fraud by investment managers," Journal of Financial Economics, Elsevier, vol. 105(1), pages 153-173.
  41. Benjamin R. Auer, 2022. "On false discoveries of standard t-tests in investment management applications," Review of Managerial Science, Springer, vol. 16(3), pages 751-768, April.
  42. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
  43. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.