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- W3121559944 abstract "We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for nonlinearities in returns than option-based factor models. Applied to mutual and hedge funds, our tests usually suggest selecting different funds than standard tests and find that a significant fraction (11%) of hedge funds adds value to investors, whereas this is an insignificant 4% for mutual funds. We also analyze the economic significance of these option-like returns and their out-of-sample persistence. This paper was accepted by Tyler Shumway, finance." @default.
- W3121559944 created "2021-02-01" @default.
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- W3121559944 date "2020-12-01" @default.
- W3121559944 modified "2023-09-23" @default.
- W3121559944 title "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds" @default.
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- W3121559944 doi "https://doi.org/10.1287/mnsc.2019.3429" @default.
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