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Conditional Return Smoothing in the Hedge Fund Industry

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  • Bollen, Nicolas P. B.
  • Pool, Veronika K.
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 43 (2008)
    Issue (Month): 02 (June)
    Pages: 267-298

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    Handle: RePEc:cup:jfinqa:v:43:y:2008:i:02:p:267-298_00

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    Cited by:
    1. Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011. "Do Hedge Funds Manipulate Stock Prices?," TSE Working Papers, Toulouse School of Economics (TSE) 11-221, Toulouse School of Economics (TSE).
    2. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(1), pages 24-44, April.
    3. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 153-165.
    4. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers, University of Tasmania, School of Economics and Finance 2013-18, University of Tasmania, School of Economics and Finance, revised 01 Jun 2013.
    5. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    6. Cumming, Douglas & Dai, Na & Haß, Lars Helge & Schweizer, Denis, 2012. "Regulatory induced performance persistence: Evidence from hedge funds," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(5), pages 1005-1022.
    7. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(3), pages 299-306, September.
    8. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, Springer, vol. 14(2), pages 117-135, July.
    10. Dimmock, Stephen G. & Gerken, William C., 2012. "Predicting fraud by investment managers," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 153-173.
    11. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers, Centre de Recherche en Economie et Statistique 2013-23, Centre de Recherche en Economie et Statistique.
    12. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 782-795.
    13. Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 206-226, July.

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