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Recovering delisting returns of hedge funds

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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2014. Recovering delisting returns of hedge funds. In: Journal of Financial and Quantitative Analysis. 49(3), pp. 797-815. ISSN 0022-1090. eISSN 1756-6916

@article{Hodder2014Recov-30197, title={Recovering delisting returns of hedge funds}, year={2014}, doi={10.1017/S0022109014000465}, number={3}, volume={49}, issn={0022-1090}, journal={Journal of Financial and Quantitative Analysis}, pages={797--815}, author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/30197"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-03-11T11:08:50Z</dcterms:available> <dc:language>eng</dc:language> <dcterms:title>Recovering delisting returns of hedge funds</dcterms:title> <dcterms:abstract xml:lang="eng">Numerous 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.</dcterms:abstract> <dc:creator>Kolokolova, Olga</dc:creator> <dc:creator>Hodder, James E.</dc:creator> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/30197"/> <dc:contributor>Hodder, James E.</dc:contributor> <dc:contributor>Kolokolova, Olga</dc:contributor> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-03-11T11:08:50Z</dc:date> <dcterms:issued>2014</dcterms:issued> <dc:creator>Jackwerth, Jens Carsten</dc:creator> </rdf:Description> </rdf:RDF>

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