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- W4313452162 abstract "We examine different aspects of performance persistence of US hedge funds over different business cycles and stock market regimes. During periods of economic growth and bull stock markets, we report performance persistence for up to one year in the risk-adjusted returns of fund portfolios of different investment strategies, which is mainly driven by top fund performers. Performance persistence weakens dramatically during recession periods and bear stock markets. Our results are robust to different combinations of states of economic growth and stock market regimes. Trading strategies constructed on the basis of our results confirm the economic significance of our findings." @default.
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- W4313452162 date "2023-01-01" @default.
- W4313452162 modified "2023-09-25" @default.
- W4313452162 title "Hedge fund performance persistence under different business cycles and stock market regimes" @default.
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- W4313452162 doi "https://doi.org/10.1016/j.najef.2022.101866" @default.
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