Hedge fund researchers have long known about backfill bias, typically correcting for it by truncating a fixed number of returns from the beginning of each fund's return series. However, we document that this practice decreases the percentage of backfilled returns by only 25%. Thus, empirical...

This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation...

We placed over 85,000 retail trades at six retail brokers to validate the Boehmer et al. (2021) algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies only 35% of our trades as retail, incorrectly signs 28% of trades, and yields uninformative...

Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with...

This is the first paper that directly tests the cost of transparency. More precisely, we examine whether a willingness to offer transparency to investors is beneficial or costly in terms of hedge fund returns. We measure a fund's willingness to offer transparency by whether it accepts managed...

A discontinuity, or kink, at zero in the hedge fund net return distribution has been interpreted as evidence of managers manipulating returns to avoid showing small losses. Instead, we propose alternative explanations for this phenomenon. In particular, we show that incentive fees can...