Recovering Delisting Returns of Hedge Funds
AbstractNumerous hedge funds stop reporting each year to commercial data bases, wreaking havoc with analyzing investment strategies which incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns 'tips them over the edge' and leads to delisting
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Bibliographic InfoPaper provided by Department of Economics, University of Konstanz in its series Working Paper Series of the Department of Economics, University of Konstanz with number 2012-34.
Length: 51 pages
Date of creation: 24 Sep 2012
Date of revision:
Other versions of this item:
- Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008. "Recovering Delisting Returns of Hedge Funds," CoFE Discussion Paper 08-09, Center of Finance and Econometrics, University of Konstanz.
- Jackwerth, Jens Carsten & Kolokolova, Olga & Hodder, James E., 2008. "Recovering Delisting Returns of Hedge Funds," MPRA Paper 11641, University Library of Munich, Germany, revised 31 Oct 2008.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
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