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Should hedge funds be cautious reporting high returns?

Auer, Benjamin R. - In: Research in international business and finance 30 (2014), pp. 195-201

Persistent link: https://www.econbiz.de/10010390267

The low return distortion of the Sharpe ratio

Auer, Benjamin R. - In: Financial markets and portfolio management 27 (2013) 3, pp. 299-306

Persistent link: https://www.econbiz.de/10009780275

Should hedge funds be cautious reporting high returns?

Auer, Benjamin R. - In: Research in International Business and Finance 30 (2014) C, pp. 195-201

In a recent article, Schuster and Auer (2012) show that fund managers with a certain positive performance need to be aware of the fact that too high prospective excess returns can lower the empirical Sharpe ratio of their funds. In this note, we investigate the empirical relevance of this...

Persistent link: https://www.econbiz.de/10010719039

A note on empirical Sharpe ratio dynamics

Schuster, Martin; Auer, Benjamin R. - In: Economics Letters 116 (2012) 1, pp. 124-128

Generating a high positive excess return in a prospective period does not necessarily increase the empirical Sharpe ratio of an investment fund. Therefore, we derive a critical range in which prospective excess returns must lie in order to increase its empirical Sharpe ratio. We also give a...

Persistent link: https://www.econbiz.de/10010572205

Hedge fund strategies : a non-parametric analysis

Canepa, Alessandra; González Pérez, María de la O; … - 2019

Persistent link: https://www.econbiz.de/10011996341

Evaluating the performance of hedge fund strategies : a non-parametric analysis

Canepa, Alessandra; González, Maria; Skinner, Frank S. - 2015

Persistent link: https://www.econbiz.de/10011348497

Hedge fund strategies: a non-parametric analysis

Canepa, Alessandra; González Pérez, María de la O; … - In: International review of financial analysis 67 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012299216

Fishing for excuses and performance evaluation

Larmande, François; Ponssard, Jean-Pierre - 2014

We study a principal-agent model in which the agent can provide ex post additional relevant information regarding his performance. In particular, he can provide a legitimate excuse, that is, evidence that a poor result is only due to factors outside his control. However, building a convincing...

Persistent link: https://www.econbiz.de/10010229868

Activist manipulation dynamics

Cetemen, Doruk; Cisternas, Gonzalo; Kolb, Aaron; … - 2022

Two activists with correlated private positions in a firm's stock, trade sequentially before simultaneously exerting effort that determines the firm's value. We document the existence of a novel linear equilibrium in which an activist's trades have positive sensitivity to her block size, but...

Persistent link: https://www.econbiz.de/10013363647

Do Hedge Funds Still Manipulate Stock Prices?

Cui, Xinyu; Kolokolova, Olga - 2023

manipulation pattern previously documented between 2000 and 2010. Stocks held by hedge funds exhibit positive abnormal returns and …-of-quarter stock price manipulation decreases with the number of the Security and Exchange Commission litigation cases involving hedge … day of a quarter, creating incentives for stock price manipulation by hedge funds …

Persistent link: https://www.econbiz.de/10014362453