Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation

• 成果类型: Article
• 署名作者: Jagannathan, Ravi; Malakhov, Alexey; Novikov, Dmitry
• 署名单位: Northwestern University; National Bureau of Economic Research; University of Arkansas System; University of Arkansas Fayetteville
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01528.x
• 发表日期: 2010
• 页码: 217-255
• 关键词: performance; RISK; persistence; survival; return; strategies; benchmarks; models; biases

摘要

In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. Although we find significant performance persistence among superior funds, we find little evidence of persistence among inferior funds.