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- W3126082197 abstract "Since hedge funds specify significant lock-up periods, we investigate persistence in the performance of hedge funds using a multi-period framework in which the likelihood of observing persistence by chance is lower than in the traditional two-period framework. Under the null hypothesis of no manager skill (no persistence), the theoretical distribution of observing wins or losses follows a binormial distribution. We test this hypothesis using the traditional two-period framework and compare the findings with the results obtained using our multi-period framework. We examine whether persistence is sensitive to the length of return measurement intervals by using quarterly, half-yearly and yearly returns. We find maximum persistence at the quarterly horizon indicating that presistence among hedge fund managers is short term in nature." @default.
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- W3126082197 date "2000-09-01" @default.
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- W3126082197 title "Multi-Period Performance Persistence Analysis of Hedge Funds" @default.
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- W3126082197 doi "https://doi.org/10.2307/2676207" @default.
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