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- W3174942565 abstract "This paper shows that several previously documented stylized facts about hedge fund performance are sensitive to database selection and associated biases. Based on a novel database aggregation, we show that qualitative and quantitative differences in conclusions about average performance stem from database differences in the coverage of dead funds and the completeness of assets under management information. Investors that consider chasing returns should heed our finding that there is no performance persistence for certain rebalancing frequencies and databases. Drawing on our results and a detailed appendix that describes our database aggregation, we make recommendations to hedge fund database users and researchers about hedge fund database selection, construction and comparison." @default.
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- W3174942565 date "2021-01-01" @default.
- W3174942565 modified "2023-10-16" @default.
- W3174942565 title "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?" @default.
- W3174942565 doi "https://doi.org/10.1561/104.00000104" @default.
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