IDEAS home Printed from https://ideas.repec.org/a/wly/mgtdec/v35y2014i2p172-187.html
   My bibliography  Save this article

Modeling Hedge Fund Returns: Selection, Nonlinearity and Managerial Efficiency

Author

Listed:
  • Kajal Lahiri
  • Hany A. Shawky
  • Yongchen Zhao

Abstract

The main focus of this paper is to explore the potential for improving econometric specification in modeling hedge fund returns. Specifically, we examine the effects of (1) correcting for selectivity bias due to sample attrition; (2) allowing for nonlinearity; and (3) controlling for fund‐specific unobserved heterogeneity. Diagnostic tests confirm the importance of these complications. Using data covering 1996–2008, we show that when selectivity, nonlinearity, and fund heterogeneity are taken into account, we obtain more robust estimates of the effect of key variables on hedge fund returns and managerial efficiency, and the explanatory power of the model is significantly improved. Copyright © 2013 John Wiley & Sons, Ltd.

Suggested Citation

  • Kajal Lahiri & Hany A. Shawky & Yongchen Zhao, 2014. "Modeling Hedge Fund Returns: Selection, Nonlinearity and Managerial Efficiency," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 35(2), pages 172-187, March.
    • Handle: RePEc:wly:mgtdec:v:35:y:2014:i:2:p:172-187
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:mgtdec:v:35:y:2014:i:2:p:172-187. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/7976 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.