Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

被引：19

作者：

Joenvaara, Juha ^{[1
]}

Kauppila, Mikko ^{[2
]}

Kosowski, Robert ^{[3
]}

Tolonen, Pekka ^{[2
]}

机构：

[1] Aalto Univ, Sch Business, Dept Finance, Espoo, Finland

[2] Univ Oulu, Oulu, Finland

[3] Imperial Coll Business Sch, Oxford Man Inst Quantitat Finance & Unigest, London, England

来源：

CRITICAL FINANCE REVIEW | 2021年 / 10卷 / 02期

基金：

芬兰科学院;

关键词：

Hedge fund performance; Persistence; Sample selection bias; Managerial skill; PERSISTENCE; RISK; BENCHMARKS; MANAGEMENT; SURVIVAL; MOMENTUM; RETURNS; BIASES; SIZE;

D O I：

10.1561/104.00000104

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper proposes a novel database merging approach and reexamines the fundamental questions regarding hedge fund performance. Before drawing conclusions about fund performance, we form an aggregate database by exploiting all available information across and within seven commercial databases so that the widest possible data coverage is obtained and the effect of data biases is mitigated. Average performance is significantly lower but more persistent when these conclusions are inferred from the aggregate database than from some of the individual commercial databases. Although hedge funds deliver performance persistence, the average fund does not deliver significant risk-adjusted net-of-fee returns while the gross-of-fee returns remain significantly positive. Consistent with previous literature, we find a significant association between fund characteristics related to share restrictions as well as compensation structure and risk-adjusted returns.

引用

页码：271 / 327

页数：57