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Recovering Delisting Returns of Hedge Funds

Author

Listed:
  • James E. Hodder

    () (School of Business, University of Wisconsin-Madison, USA)

  • Jens Carsten Jackwerth

    () (Department of Economics, University of Konstanz, Germany)

  • Olga Kolokolova

    () (Master Business School,The University of Manchester, United Kingdom)

Abstract

Numerous 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

Suggested Citation

  • James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012. "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz 2012-34, Department of Economics, University of Konstanz.
  • Handle: RePEc:knz:dpteco:1234
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    File URL: http://www.uni-konstanz.de/FuF/wiwi/workingpaperseries/WP_Hodder-Jackwerth-Kolokolova_34-12.pdf
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    References listed on IDEAS

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    1. 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.
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    Cited by:

    1. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    2. repec:eee:jfinec:v:125:y:2017:i:3:p:610-636 is not listed on IDEAS
    3. repec:pal:assmgt:v:18:y:2017:i:1:d:10.1057_s41260-016-0002-y is not listed on IDEAS

    More about this item

    Keywords

    hedge funds; delisting returns; exit returns;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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