Recovering Delisting Returns of Hedge Funds
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds’ returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.
|Date of creation:||31 Oct 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Fach D 147, D-78457 Konstanz|
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
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.:
- 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.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics,
Elsevier, vol. 132(1), pages 169-194, May.
- Liang, Bing & Park, Hyuna, 2010. "Predicting Hedge Fund Failure: A Comparison of Risk Measures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(01), pages 199-222, February.
- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
- Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003.
"An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns,"
4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
- Jenke Ter Horst & Marno Verbeek, 2007.
"Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry,"
Review of Finance,
European Finance Association, vol. 11(4), pages 605-632.
- ter Horst, J.R. & Verbeek, M.J.C.M., 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," ERIM Report Series Research in Management ERS-2004-104-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Tom Doan, . "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- William Fung & David A. Hsieh & Narayan Y. Naik & Tarun Ramadorai, 2008.
"Hedge Funds: Performance, Risk, and Capital Formation,"
Journal of Finance,
American Finance Association, vol. 63(4), pages 1777-1803, 08.
- 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.
- Vikas Agarwal & Naveen D. Daniel & Narayan Y. Naik, 2009. "Role of Managerial Incentives and Discretion in Hedge Fund Performance," Journal of Finance, American Finance Association, vol. 64(5), pages 2221-2256, October.
- Kolokolova, Olga, 2011. "Strategic behavior within families of hedge funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1645-1662, July.
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:0809. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Nolte)The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct email address
If references are entirely missing, you can add them using this form.