Recovering delisting returns of hedge funds

Kurzanzeige
dc.contributor.authorHodder, James E.
dc.contributor.authorJackwerth, Jens
dc.contributor.authorKolokolova, Olga
dc.date.accessioned2015-03-11T11:08:50Z
dc.date.available2015-03-11T11:08:50Z
dc.date.issued2014eng
dc.description.abstractNumerous hedge funds stop reporting each year to commercial databases, wreaking havoc with analyzing investment strategies that incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns “tips them over the edge” and leads to delisting.eng
dc.description.versionpublished
dc.identifier.doi10.1017/S0022109014000465eng
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/30197
dc.language.isoengeng
dc.subject.ddc330eng
dc.titleRecovering delisting returns of hedge fundseng
dc.typeJOURNAL_ARTICLEeng
dspace.entity.typePublication
kops.citation.bibtex
@article{Hodder2014Recov-30197,
  year={2014},
  doi={10.1017/S0022109014000465},
  title={Recovering delisting returns of hedge funds},
  number={3},
  volume={49},
  issn={0022-1090},
  journal={Journal of Financial and Quantitative Analysis},
  pages={797--815},
  author={Hodder, James E. and Jackwerth, Jens and Kolokolova, Olga}
}
kops.citation.iso690HODDER, James E., Jens JACKWERTH, Olga KOLOKOLOVA, 2014. Recovering delisting returns of hedge funds. In: Journal of Financial and Quantitative Analysis. 2014, 49(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109014000465deu
kops.citation.iso690HODDER, James E., Jens JACKWERTH, Olga KOLOKOLOVA, 2014. Recovering delisting returns of hedge funds. In: Journal of Financial and Quantitative Analysis. 2014, 49(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109014000465eng
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kops.sourcefieldJournal of Financial and Quantitative Analysis. 2014, <b>49</b>(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109014000465deu
kops.sourcefield.plainJournal of Financial and Quantitative Analysis. 2014, 49(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109014000465deu
kops.sourcefield.plainJournal of Financial and Quantitative Analysis. 2014, 49(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109014000465eng
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source.bibliographicInfo.fromPage797eng
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source.identifier.eissn1756-6916eng
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source.periodicalTitleJournal of Financial and Quantitative Analysiseng
temp.internal.duplicates<p>Möglicherweise Dublette von: </p><a href="http://kops.uni-konstanz.de/handle/123456789/12216">http://kops.uni-konstanz.de/handle/123456789/12216</a><p>Letzte Überprüfung: 12.01.2015 14:19:37</p>deu

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