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This paper produces multiple fund-of-funds’ portfolios based on sorting and a novel non-parametric approach to lend in-depth insights into the extent hedge fund returns display higher order (non-linear) persistence patterns. By exploiting monthly data from Hedge Fund Research Database between...
Persistent link: https://www.econbiz.de/10013403598
by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from …-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating …
Persistent link: https://www.econbiz.de/10013223115
We study how fast investors learn about manager skills by examining the speed at which their disagreement converges. Using a novel measure of disagreement, we find that hedge fund investors learn as fast as suggested by Bayes' rule. However, we also find mutual fund investors learn much more...
Persistent link: https://www.econbiz.de/10012936558
female portfolio manager and funds that have all female portfolio managers. Funds with all female managers perform no … idea that female managers need to perform better for their funds to survive. Yet, female-managed surviving funds have fewer … female and male managers, but that only the best performing female managers manage to survive …
Persistent link: https://www.econbiz.de/10012999849
The main focus of this paper is to explore the potential econometric im-provements that can be achieved in estimating hedge fund returns. Specifically, we examine the effects of incorporating the following three adjustments to estimating managerial efficiency; (1) a selection bias adjustment...
Persistent link: https://www.econbiz.de/10013104408
support alpha delivery by mutual and hedge fund managers though this critically depends upon model specification. Quantile …
Persistent link: https://www.econbiz.de/10013066684
Persistent link: https://www.econbiz.de/10003807054
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While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10011993511
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10012416051