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- W2056700911 abstract "Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart's (1997) specification combined with the Fama and French (1998) and Agarwal and Naik (2002) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for more than half of the hedge funds categories, and for all funds in general. The performance of hedge funds for several individual strategies and different subperiods, including the Asian Crisis period, indicates limited evidence of persistence in performance but not for extreme performers." @default.
- W2056700911 created "2016-06-24" @default.
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- W2056700911 date "2004-01-01" @default.
- W2056700911 modified "2023-10-01" @default.
- W2056700911 title "Analysis of hedge fund performance" @default.
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- W2056700911 doi "https://doi.org/10.1016/j.jempfin.2002.12.002" @default.
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