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Survivorship bias and attrition effects in measures of performance persistence

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Carpenter, Jennifer N.
Lynch, Anthony W.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 54 (1999)
Issue (Month): 3 (December)
Pages: 337-374
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Handle: RePEc:eee:jfinec:v:54:y:1999:i:3:p:337-374

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  1. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Horst, J.R. ter & Verbeek, M.J.C.M, 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," Research Paper ERS-2004-104-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  4. Drew, Michael E. & Stanford, Jon D., 2001. "The Impact of Fund Attrition on Superannuation Returns," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 31(1), pages 25-32, March. [Downloadable!]
  5. Fabrice Hervé, 2006. "Famille de fonds de pension, performance et persistance de la performance," Working Papers FARGO 1060903, Université de Bourgogne - LEG/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  6. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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