Matches in SemOpenAlex for { <https://semopenalex.org/work/W3216699425> ?p ?o ?g. }
Showing items 1 to 58 of
58
with 100 items per page.
- W3216699425 abstract "This article examines performance persistence of 773 hedge funds from the period 1990 to 2003. The sample is free of survivorship bias, backfill, and selection bias. We find evidence of managerial positive performance persistence using multi-factor models. Performance is measured by Jensen’s alpha based on regression models such as the CAPM, Fama and French,(1993), three-factor model, Carhart, (1997), four- factor model and Guirguis,(2005), six-factor model. A positive value of Jensen’s alpha means that the fund manager has outperformed the market index. A negative value of Jensen’s alpha shows inferior performance. The significant t-statistic is a sign of stock picking ability based on skills and not on luck. Positive alphas measure the contribution of the manager to the performance of the fund. Thus, a positive and statistically significant alpha indicates superior managerial performance persistence of the fund. Negative values or statistically insignificant values represent inferior or neutral managerial performance persistence. Based on CAPM regression results, all style categories display alpha that is positive and not statistically significant at 5% level. Based on Fama and French,(1993), three factor model regression results, seven out of nine categories display a significant alpha. Based on Carhart’s ,(1997), four - factor model, eight out of nine style categories display an alpha that is positive and statistically significant at the 5% significance level. Based on my regression results or Guirguis, (2005), six - factor model all style categories display an alpha that is positive and statistically significant at the 5% significance level." @default.
- W3216699425 created "2021-12-06" @default.
- W3216699425 creator A5036076509 @default.
- W3216699425 date "2021-01-01" @default.
- W3216699425 modified "2023-09-25" @default.
- W3216699425 title "Managerial Performance Persistence of Hedge Funds" @default.
- W3216699425 doi "https://doi.org/10.2139/ssrn.3826964" @default.
- W3216699425 hasPublicationYear "2021" @default.
- W3216699425 type Work @default.
- W3216699425 sameAs 3216699425 @default.
- W3216699425 citedByCount "0" @default.
- W3216699425 crossrefType "journal-article" @default.
- W3216699425 hasAuthorship W3216699425A5036076509 @default.
- W3216699425 hasConcept C10138342 @default.
- W3216699425 hasConcept C105795698 @default.
- W3216699425 hasConcept C10879293 @default.
- W3216699425 hasConcept C127413603 @default.
- W3216699425 hasConcept C149782125 @default.
- W3216699425 hasConcept C152877465 @default.
- W3216699425 hasConcept C15744967 @default.
- W3216699425 hasConcept C162324750 @default.
- W3216699425 hasConcept C181236170 @default.
- W3216699425 hasConcept C187320778 @default.
- W3216699425 hasConcept C204434749 @default.
- W3216699425 hasConcept C2776291640 @default.
- W3216699425 hasConcept C2781009140 @default.
- W3216699425 hasConcept C33923547 @default.
- W3216699425 hasConceptScore W3216699425C10138342 @default.
- W3216699425 hasConceptScore W3216699425C105795698 @default.
- W3216699425 hasConceptScore W3216699425C10879293 @default.
- W3216699425 hasConceptScore W3216699425C127413603 @default.
- W3216699425 hasConceptScore W3216699425C149782125 @default.
- W3216699425 hasConceptScore W3216699425C152877465 @default.
- W3216699425 hasConceptScore W3216699425C15744967 @default.
- W3216699425 hasConceptScore W3216699425C162324750 @default.
- W3216699425 hasConceptScore W3216699425C181236170 @default.
- W3216699425 hasConceptScore W3216699425C187320778 @default.
- W3216699425 hasConceptScore W3216699425C204434749 @default.
- W3216699425 hasConceptScore W3216699425C2776291640 @default.
- W3216699425 hasConceptScore W3216699425C2781009140 @default.
- W3216699425 hasConceptScore W3216699425C33923547 @default.
- W3216699425 hasLocation W32166994251 @default.
- W3216699425 hasOpenAccess W3216699425 @default.
- W3216699425 hasPrimaryLocation W32166994251 @default.
- W3216699425 hasRelatedWork W16831015 @default.
- W3216699425 hasRelatedWork W21591421 @default.
- W3216699425 hasRelatedWork W25362432 @default.
- W3216699425 hasRelatedWork W28458119 @default.
- W3216699425 hasRelatedWork W3384419 @default.
- W3216699425 hasRelatedWork W34873436 @default.
- W3216699425 hasRelatedWork W3667813 @default.
- W3216699425 hasRelatedWork W39563902 @default.
- W3216699425 hasRelatedWork W635707 @default.
- W3216699425 hasRelatedWork W9958981 @default.
- W3216699425 isParatext "false" @default.
- W3216699425 isRetracted "false" @default.
- W3216699425 magId "3216699425" @default.
- W3216699425 workType "article" @default.