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An empirical analysis of hedge fund performance: The case of Australian hedge funds industry
16 references·2 citing·31 second hopsampled
An empirical analysis of hedge fund performance: The case of Australian hedge funds industry (2005)An empirical analysis of hedge fund perfo…Analysis of hedge funds performance (2004)Analysis of hedge funds perfo…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)The Statistical Properties of…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Risk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Multi-Period Performance Pers…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…On the Performance of Hedge Funds (1999)On the Performance of Hedge F…Offshore Hedge Funds: Survival and Performance, 1989–95 (1999)Offshore Hedge Funds: Surviva…A primer on hedge funds (1999)A primer on hedge fundsValue versus Growth: The International Evidence (1998)Value versus Growth: The Inte…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…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 Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Cumulant instrument estimators for hedge fund return models with errors in variables (2014)Cumulant instrument estimator…Performance analysis of Brazilian hedge funds (2011)Performance analysis of Brazi…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrapolation, and Risk (1994)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Risks and Portfolio Decisions Involving Hedge Funds (2003)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Just How Much Do Individual Investors Lose by Trading? (2008)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Pricing of Options and Corporate Liabilities (1973)What matters for financial development? Capital controls, institutions, and interactions (2005)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Common risk factors in the returns on stocks and bonds (1993)Hedge Funds and the Technology Bubble (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)The Cross-Section of Expected Stock Returns (1992)A model of investor sentiment / (1997)A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Statistics of Sharpe Ratios (2002)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1998Value versus Growth: The International Evidence2,251 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 2000Multi-Period Performance Persistence Analysis of Hedge Funds600 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 1999On the Performance of Hedge Funds547 cited
  • 1999Offshore Hedge Funds: Survival and Performance, 1989–95510 cited
  • 2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors458 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 1999A primer on hedge funds354 cited

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  • 2004Analysis of hedge funds performance348 cited
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    • 2011Performance analysis of Brazilian hedge funds26 cited
    • 2014Cumulant instrument estimators for hedge fund return models with errors in variables25 cited