Verbeek, Marno; Baquero, G.; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2002
Hedge funds databases are typically subject to high attrition rates because of fund termination and self ….ect standard estimates of performance persistence. In this paper we analyze the persistence in the performance of U.S. hedge funds … taking into account look-ahead bias (multi-period sampling bias). To do so, we model attrition of hedge funds and analyze how …