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- W1905087446 abstract "Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama and French (1998), Agarwal and Naik (2000) models and a new factor that take into account the fact that some hedge funds invest in emerging market bond. We find out that our combined model is able to explain a significant proportion of the variation in hedge fund returns over time. This latter particularly suits for Event-Driven, Global Macro, US Opportunistics, Equity non-Hedge and Sector funds. We analyse the performance of hedge funds and the persistence in performance for different subperiods including the Asian Crisis period. Then, after having studied dissolution frequencies, we made the same calculations for several individual hedge fund strategies. We showed there is a proof of persistence in performance in some cases but that persistence is not always constant over time." @default.
- W1905087446 created "2016-06-24" @default.
- W1905087446 creator A5048666221 @default.
- W1905087446 date "2001-01-01" @default.
- W1905087446 modified "2023-10-03" @default.
- W1905087446 title "An Analysis of Hedge Fund Performance 1984-2000" @default.
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- W1905087446 doi "https://doi.org/10.2139/ssrn.291848" @default.
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