Recovering Delisting Returns of Hedge Funds


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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2008. Recovering Delisting Returns of Hedge Funds

@techreport{Hodder2008Recov-12216, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Recovering Delisting Returns of Hedge Funds}, year={2008}, number={2008/09}, author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:title>Recovering Delisting Returns of Hedge Funds</dcterms:title> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dc:language>eng</dc:language> <dc:creator>Kolokolova, Olga</dc:creator> <dc:format>application/pdf</dc:format> <dc:rights>deposit-license</dc:rights> <bibo:uri rdf:resource=""/> <dcterms:abstract xml:lang="eng">Numerous hedge funds stop reporting to commercial databases each year. An issue for hedge-fund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.</dcterms:abstract> <dc:creator>Hodder, James E.</dc:creator> <dc:date rdf:datatype="">2011-03-25T09:43:32Z</dc:date> <dcterms:rights rdf:resource=""/> <dc:contributor>Hodder, James E.</dc:contributor> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dcterms:issued>2008</dcterms:issued> <dc:contributor>Kolokolova, Olga</dc:contributor> <dcterms:available rdf:datatype="">2011-03-25T09:43:32Z</dcterms:available> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

2008_WP_Recovering_Delisting_Returns_of_Hedge_Funds.pdf 112

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