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Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation

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Cited by:

  1. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  2. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
  3. Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 525-548.
  4. Jesse Blocher & Marat Molyboga, 2017. "The Revealed Preference of Sophisticated Investors," European Financial Management, European Financial Management Association, vol. 23(5), pages 839-872, October.
  5. Nicolae Gârleanu & Lasse Heje Pedersen, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," Journal of Finance, American Finance Association, vol. 73(4), pages 1663-1712, August.
  6. G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
  7. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  8. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
  9. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
  10. Jiaqi Chen & Michael Tindall & Wenbo Wu, 2016. "Hedge Fund Return Prediction and Fund Selection: A Machine-Learning Approach," Occasional Papers 16-4, Federal Reserve Bank of Dallas.
  11. Igor Makarov & Guillaume Plantin, 2015. "Rewarding Trading Skills without Inducing Gambling," Journal of Finance, American Finance Association, vol. 70(3), pages 925-962, June.
  12. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
  13. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
  14. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
  15. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
  16. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
  17. Matthew Rabin & Dimitri Vayanos, 2010. "The Gambler's and Hot-Hand Fallacies: Theory and Applications," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 730-778.
  18. Kun Park & Ward Whitt, 2013. "Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups," Annals of Operations Research, Springer, vol. 211(1), pages 357-379, December.
  19. Ardia, David & Boudt, Kris, 2018. "The peer performance ratios of hedge funds," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 351-368.
  20. Robert Wrathall & Rod Falvey & Gulasekaran Rajaguru, 2020. "Do (Australian) jockeys have hot hands?," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 223-239, May.
  21. René M. Stulz, 2007. "Hedge Funds: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 175-194, Spring.
  22. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
  23. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
  24. Adam L. Aiken & Christopher P. Clifford & Jesse Ellis, 2015. "The Value of Funds of Hedge Funds: Evidence from Their Holdings," Management Science, INFORMS, vol. 61(10), pages 2415-2429, October.
  25. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
  26. Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
  27. Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
  28. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
  29. Marius Ötting & Roland Langrock & Christian Deutscher & Vianey Leos‐Barajas, 2020. "The hot hand in professional darts," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 565-580, February.
  30. Sinclair, Andrew J., 2023. "Do prime brokers intermediate capital?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  31. Rania Hentati-Kaffel & Philippe de Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Working Papers hal-00984777, HAL.
  32. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
  33. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
  34. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
  35. Chen, Honghui & Kumar, Alok & Lu, Yan & Singh, Ajai, 2022. "Do Hedge Fund Managers Understand Politics? Political Sensitivity and Investment Skill," Journal of Banking & Finance, Elsevier, vol. 135(C).
  36. George J. Jiang & Bing Liang & Huacheng Zhang, 2022. "Hedge Fund Manager Skill and Style-Shifting," Management Science, INFORMS, vol. 68(3), pages 2284-2307, March.
  37. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
  38. Amit Bubna & Sanjiv R. Das & Paul Hanouna, 2020. "The Fast and the Curious: VC Drift," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(1), pages 69-113, February.
  39. Braun, Reiner & Jenkinson, Tim & Stoff, Ingo, 2017. "How persistent is private equity performance? Evidence from deal-level data," Journal of Financial Economics, Elsevier, vol. 123(2), pages 273-291.
  40. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  41. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
  42. Roger K. Loh & Mitch Warachka, 2012. "Streaks in Earnings Surprises and the Cross-Section of Stock Returns," Management Science, INFORMS, vol. 58(7), pages 1305-1321, July.
  43. Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.
  44. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
  45. Park, Hyuna, 2015. "Emerging market hedge funds in the United States," Emerging Markets Review, Elsevier, vol. 22(C), pages 25-42.
  46. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
  47. Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  48. Eliezer Fich & Viktoriya Lantushenko & Clemens Sialm, 2019. "Institutional Trading Around M&A Announcements," NBER Working Papers 25814, National Bureau of Economic Research, Inc.
  49. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  50. Ramadorai, Tarun, 2013. "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 401-416.
  51. Cumming, Douglas & Dai, Na & Haß, Lars Helge & Schweizer, Denis, 2012. "Regulatory induced performance persistence: Evidence from hedge funds," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1005-1022.
  52. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
  53. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
  54. Dan Bernhardt & Ed Nosal, 2013. "Gambling for Dollars: Strategic Hedge Fund Manager Investment," Working Paper Series WP-2013-23, Federal Reserve Bank of Chicago.
  55. Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
  56. Bollen, Nicolas P. B., 2013. "Zero-R2Hedge Funds and Market Neutrality," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 519-547, April.
  57. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, September.
  58. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
  59. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
  60. Russell Jame, 2018. "Liquidity Provision and the Cross Section of Hedge Fund Returns," Management Science, INFORMS, vol. 64(7), pages 3288-3312, July.
  61. Joshua B. Miller & Adam Sanjurjo, 2014. "A Cold Shower for the Hot Hand Fallacy," Working Papers 518, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
  63. Denitsa Stefanova & Arjen Siegmann & Marcin Zamojski, 2014. "Hedge Fund Innovation," LSF Research Working Paper Series 14-13, Luxembourg School of Finance, University of Luxembourg.
  64. Kooli, Maher & Zhang, Min, 2022. "Not only skill but also scale: Evidence from the hedge funds industry," International Review of Financial Analysis, Elsevier, vol. 83(C).
  65. Sevinc Cukurova & Jose M. Marin, 2011. "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers 2011-04, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  66. Marat Molyboga & Christophe L’ Ahelec, 2016. "A simulation-based methodology for evaluating hedge fund investments," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 434-452, October.
  67. Mark Grinblatt & Gergana Jostova & Lubomir Petrasek & Alexander Philipov, 2020. "Style and Skill: Hedge Funds, Mutual Funds, and Momentum," Management Science, INFORMS, vol. 66(12), pages 5505-5531, December.
  68. Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
  69. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
  70. Lillo, Fabrizio & Pirino, Davide, 2015. "The impact of systemic and illiquidity risk on financing with risky collateral," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 180-202.
  71. repec:fip:feddop:2 is not listed on IDEAS
  72. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
  73. Osinga, Albert Jakob & Schauten, Marc B.J. & Zwinkels, Remco C.J., 2021. "Timing is money: The factor timing ability of hedge fund managers," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 266-281.
  74. Manuel Ammann & Otto Huber & Markus Schmid, 2013. "Hedge Fund Characteristics and Performance Persistence," European Financial Management, European Financial Management Association, vol. 19(2), pages 209-250, March.
  75. Jiaqi Chen & Michael L. Tindall & Wenbo Wu, 2018. "Risk measurement distortion: an improved model of return smoothing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 297-310, August.
  76. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
  77. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
  78. Akbas, Ferhat & Armstrong, Will J. & Sorescu, Sorin & Subrahmanyam, Avanidhar, 2015. "Smart money, dumb money, and capital market anomalies," Journal of Financial Economics, Elsevier, vol. 118(2), pages 355-382.
  79. Sina Mews & Marius Ötting, 2023. "Continuous-time state-space modelling of the hot hand in basketball," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(1), pages 313-326, March.
  80. Jiaqi Chen & Michael Tindall, 2012. "Risk measurement illiquidity distortions," Occasional Papers 12-2, Federal Reserve Bank of Dallas.
  81. Siem Aarts & Andrew Baum, 2016. "Performance persistence in real estate private equity," Journal of Property Research, Taylor & Francis Journals, vol. 33(3), pages 236-251, July.
  82. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
  83. Joshua B. Miller & Adam Sanjurjo, 2015. "Is it a Fallacy to Believe in the Hot Hand in the NBA Three-Point Contest?," Working Papers 548, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  84. Chen, Hsuan-Chi & Lai, Christine W. & Wu, Sheng-Ching, 2016. "Mutual fund selection and performance persistence in 401(k) Plans," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 78-100.
  85. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
  86. Paul Calluzzo & Fabio Moneta & Selim Topaloglu, 2019. "When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?," Management Science, INFORMS, vol. 65(10), pages 4555-4574, October.
  87. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.
  88. Charles Cao & Grant Farnsworth & Bing Liang & Andrew W. Lo, 2017. "Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform," Management Science, INFORMS, vol. 63(7), pages 2233-2250, July.
  89. Hong, Xin & Zhuang, Zhuang & Kang, Di & Wang, Zhibin, 2019. "Do corporate site visits impact hedge fund performance?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 113-128.
  90. Yao, Juan & Wu, Bochen & Gao, Yang, 2021. "Death and the life hereafter: A study of the subsequent hedge funds," Finance Research Letters, Elsevier, vol. 40(C).
  91. Rzakhanov, Zaur & Jetley, Gaurav, 2019. "Competition, scale and hedge fund performance: Evidence from merger arbitrage," Journal of Economics and Business, Elsevier, vol. 105(C).
  92. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  93. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
  94. Tarun Ramadorai, 2012. "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, April.
  95. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
  96. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
  97. Yong Chen & Bryan Kelly & Wei Wu, 2018. "Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment," NBER Working Papers 24552, National Bureau of Economic Research, Inc.
  98. Mustafa O. Caglayan & Umut Celiker & Gokhan Sonaer, 2022. "Disagreement between hedge funds and other institutional investors and the cross‐section of expected stock returns," The Financial Review, Eastern Finance Association, vol. 57(3), pages 663-689, August.
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  100. Glode, Vincent & Green, Richard C., 2011. "Information spillovers and performance persistence for hedge funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 1-17, July.
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  102. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
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