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Do hedge funds deliver alpha? A Bayesian and bootstrap analysis

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  • Kosowski, Robert
  • Naik, Narayan Y.
  • Teo, Melvyn
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 84 (2007)
    Issue (Month): 1 (April)
    Pages: 229-264

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    Handle: RePEc:eee:jfinec:v:84:y:2007:i:1:p:229-264

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    Web page: http://www.elsevier.com/locate/inca/505576

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    1. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(2), pages 339-377, August.
    2. Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005. "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers 05-14, University of Cologne, Centre for Financial Research (CFR).
    3. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
    4. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Pastor, Lubos & Stambaugh, Robert F., 2002. "Investing in equity mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 351-380, March.
    6. Mark Mitchell, 2001. "Characteristics of Risk and Return in Risk Arbitrage," Journal of Finance, American Finance Association, vol. 56(6), pages 2135-2175, December.
    7. Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," NBER Working Papers 9275, National Bureau of Economic Research, Inc.
    8. Jeffrey A. Busse & Paul J. Irvine, 2006. "Bayesian Alphas and Mutual Fund Persistence," Journal of Finance, American Finance Association, vol. 61(5), pages 2251-2288, October.
    9. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 315-349, March.
    10. Klaas P. Baks, 2001. "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Journal of Finance, American Finance Association, vol. 56(1), pages 45-85, 02.
    11. Fung, William & Hsieh, David A & Naik, Narayan & Ramadorai, Tarun, 2006. "Hedge Funds: Performance, Risk and Capital Formation," CEPR Discussion Papers 5565, C.E.P.R. Discussion Papers.
    12. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers.
    13. Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-41.
    14. Agarwal, Vikas & Naik, Narayan Y., 2000. "Multi-Period Performance Persistence Analysis of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 327-342, September.
    15. Fung, William & Hsieh, David A., 1999. "A primer on hedge funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(3), pages 309-331, September.
    16. Liang, Bing, 2000. "Hedge Funds: The Living and the Dead," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 309-326, September.
    17. Jones, Christopher S. & Shanken, Jay, 2005. "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 78(3), pages 507-552, December.
    18. Robert F. Stambaugh, . "Analyzing Investments Whose Histories Differ in Length," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 05-96, Wharton School Rodney L. White Center for Financial Research.
    19. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
    20. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06.
    21. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management ysm353, Yale School of Management, revised 01 Apr 2005.
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