全球智库信息集成服务系统(G2TT): DP13618 Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13618
	DP13618 Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?
	Juha Joenväärä; Mikko Kaupila; Robert Kosowski; Pekka Tolonen
发表日期	2019-04-08
出版年	2019
语种	英语
摘要	This paper proposes a novel database merging approach and re-examines the fundamental questions regarding hedge fund performance. Before drawing conclusions about fund performance, we form an aggregate database by exploiting all available information across and within seven commercial databases so that widest possible data coverage is obtained and the effect of data biases is mitigated. Average performance is significantly lower but more persistent when these conclusions are inferred from aggregate database than from some of the individual commercial databases. Although hedge funds deliver performance persistence, an average fund or industry as a whole do not deliver significant risk-adjusted net-of-fee returns while the gross-of-fee returns remain significantly positive. Consistent with previous literature, we find a significant association between fund-characteristics related to share restrictions as well as compensation structure and risk-adjusted returns.
主题	Financial Economics
关键词	Hedge fund performance Persistence Sample selection bias Managerial skill
URL	https://cepr.org/publications/dp13618-0
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/542516
推荐引用方式 GB/T 7714	Juha Joenväärä,Mikko Kaupila,Robert Kosowski,et al. DP13618 Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?. 2019.