Jackwerth, Jens Carsten; Hodder, James E.; Kolokolova, Olga - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2008
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds’ returns. In...