Recovering Delisting Returns of Hedge Funds


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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2012. Recovering Delisting Returns of Hedge Funds

@techreport{Hodder2012Recov-29677, series={Working Paper Series / Department of Economics}, title={Recovering Delisting Returns of Hedge Funds}, year={2012}, number={2012‐34}, 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:contributor>Jackwerth, Jens Carsten</dc:contributor> <bibo:uri rdf:resource=""/> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dc:language>eng</dc:language> <dc:contributor>Hodder, James E.</dc:contributor> <dc:creator>Kolokolova, Olga</dc:creator> <dc:contributor>Kolokolova, Olga</dc:contributor> <dcterms:abstract xml:lang="eng">Numerous hedge funds stop reporting each year to commercial data bases, wreaking havoc with analyzing investment strategies which 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.</dcterms:abstract> <dc:creator>Hodder, James E.</dc:creator> <dc:date rdf:datatype="">2015-01-30T10:00:03Z</dc:date> <dcterms:available rdf:datatype="">2015-01-30T10:00:03Z</dcterms:available> <dcterms:issued>2012</dcterms:issued> <dcterms:rights rdf:resource=""/> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 30.01.2015 (Informationen über die Zugriffsstatistik)

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