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- W3137859547 abstract "In this paper we study hedge fund styles by examining both self-reported classification and a return-based classification on a sample of hedge funds over the period of 2005 to 2011. Using seven versions of the Lipper/TASS data, we are able to track self-reported classification on an annual basis. We show that style shifts exist in the database, suggesting that the assumption of static hedge fund style is inappropriate. The two classifications are not consistent with each other; we construct a disagreement measure that captures the resulted difference in relative performance. We argue that the disagreement is related to manager skills rather than strategic misclassification. Further, we demonstrate that investors react positively to the disagreement measure and money flows to top-performing funds based on self-reported styles." @default.
- W3137859547 created "2021-03-29" @default.
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- W3137859547 date "2011-01-01" @default.
- W3137859547 modified "2023-10-07" @default.
- W3137859547 title "Hedge Fund Styles: 2005- 2011" @default.
- W3137859547 doi "https://doi.org/10.2139/ssrn.1922799" @default.
- W3137859547 hasPublicationYear "2011" @default.
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