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Informationless Investing and Hedge Fund Performance Measurement Bias
5 references·9 citing·51 second hop
Informationless Investing and Hedge Fund Performance Measurement Bias (2002)Informationless Investing and Hedge Fund …Offshore Hedge Funds: Survival and Performance, 1989–95 (1999)Offshore Hedge Funds: Surviva…On the Performance of Hedge Funds (1998)On the Performance of Hedge F…Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics (1998)Multifactor Analysis of Hedge…Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …The procyclicality of hedge fund alpha and beta (2013)The procyclicality of hedge f…Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns (2011)Caught by the Tail: Tail Risk…Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns (2009)Hedge Funds: Pricing Controls…The Beta Continuum (2008)The Beta ContinuumDo Higher-Moment Equity Risks Explain Hedge Fund Returns? (2008)Do Higher-Moment Equity Risks…Double or Nothing: Patterns of Equity Fund Holdings and Transactions (2005)Double or Nothing: Patterns o…Strategic versus Tactical Asset Allocation (2004)Strategic versus Tactical Ass…How to Price Hedge Funds: From Two- to Four-Moment CAPM (2004)How to Price Hedge Funds: Fro…An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)An Econometric Model of Seria…The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Mimicking Portfolios with Conditioning Information (2004)The Relation of the Disposition Effect to Mutual Fund Trades and Performance (2005)The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk* (2005)The Cross-Section of Expected Stock Returns (1992)Analysis of Panel Data (2003)Liquidity Risk and Expected Stock Returns (2003)Tail Risk and Hedge Fund Returns (2012)Do Hedge Funds Exploit Rare Disaster Concerns? (2013)Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2014)Advances in Futures and Options Research (1994)Fundamental Economic Variables, Expected Returns, and Bond Fund Performance (1995)Understanding Hedge Fund Performance (2002)Hedge fund performance and persistence in bull and bear markets (2005)Hedge funds: an industry in its adolescence (2006)Determinants of Portfolio Performance (1986)Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Identifying and Overcoming Behavioural Impediments to Long Term Responsible Investment: A Focus on UK Institutional Investors (2011)The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test (2016)Dynamic portfolio rebalancing through reinforcement learning (2021)Contrarian Investment, Extrapolation, and Risk (1994)On Persistence in Mutual Fund Performance (1997)SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS (2005)The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2009)On the High-Frequency Dynamics of Hedge Fund Risk Exposures (2011)Performance Persistence (1995)Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry (2001)Hedge Fund Performance and Manager Skill (2001)Hedge Funds: Risk and Return (2005)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds and the Technology Bubble (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)A Survey of the Literature on Hedge Fund Performance (2004)The Impact of Non-normality Risks and Tactical Trading on Hedge Fund Alphas (2008)The Four‐moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Real Estate Returns and Risk with Heterogeneous Investors (2008)Measuring the Timing Ability and Performance of Bond Mutual Funds (2009)High‐Water Marks and Hedge Fund Management Contracts (2003)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)
this work references cited by second hop

References

  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 1999Offshore Hedge Funds: Survival and Performance, 1989–95510 cited
  • 1998Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics189 cited
  • 1998On the Performance of Hedge Funds125 cited

Cited by

  • 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns57 cited
  • 2004Strategic versus Tactical Asset Allocation56 cited
  • 2008Do Higher-Moment Equity Risks Explain Hedge Fund Returns?56 cited
  • 2004How to Price Hedge Funds: From Two- to Four-Moment CAPM53 cited
  • 2005Double or Nothing: Patterns of Equity Fund Holdings and Transactions36 cited
  • 2009Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns32 cited
  • 2008The Beta Continuum24 cited
  • 2013The procyclicality of hedge fund alpha and beta21 cited
  • 2011Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns21 cited

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