Sun, Zheng; Wang, Ashley W.; Lu, Zheng - 2016 - This draft: March 2016
, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest DownsideReturns … quintile outperform funds in the lowest quintile by about 7% in the subsequent year, whereas funds with better UpsideReturns do …, for both winners and losers, and for funds with few share restrictions …