This paper provides an overview of the most important statistical properties of individual hedge fund returns. We find that the net-of-fees monthly returns of the average individual hedge fund exhibit significant degrees of negative skewness, excess kurtosis, as well as positive first-order...

sing 1998 trade and quote data for securities listed on the Toronto Stock Exchange, this paper employs nonparametric estimation to measure the effect of being interlisted on a US exchange on: (i) the daily number of trades, trading volume, and dollar trading volume; (ii) the number of inside...