Performance persistence in hedge funds: Australian evidence
AbstractUsing the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 20 (2010)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/intfin
Persistence Hedge funds Stock selection Market timing;
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Yale School of Management Working Papers
ysm451, Yale School of Management.
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