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Survival, look-ahead bias ant [and] the persistence in hedge fund performance

Baquero, Guillermo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001733013

Survival, look-ahead bias and the persistence in Hedge fund performance

Baquero, Guillermo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001713910

Survival, look-ahead bias, and persistence in hedge fund performance

Baquero, Guillermo; Horst, Jenke R. ter; Verbeek, Marno - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 3, pp. 493-518

Persistent link: https://www.econbiz.de/10003160309

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

Baquero, Guillermo - 2009

In this paper we analyze the persistence in the performance of hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model liquidation of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates...

Persistent link: https://www.econbiz.de/10012767778