Loriana Pelizzon () (Department of Economics, University Of Venice Cà Foscari) Monica Billio () (Department of Economics, University Of Venice Cà Foscari) Mila Getmansky () (Department of Finance and Operations Management Isenberg School of Management University of Massachusetts)
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This paper examines four different daily datasets of hedge fund return indexes: MSCI, FTSE, Dow Jones and HFRX, all based on investable hedge funds, and three different monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both investable and non-investable hedge funds. Our study, based on standard statistical analysis, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that key data biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that highly affects the statistical properties of hedge fund index returns is the “investability” of hedge funds
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Paper provided by University of Venice "Ca' Foscari", Department of Economics in its series Working Papers with number
2008_11.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006.
"Is There Hedge Fund Contagion?,"
Working Paper Series
2006-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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