Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation / Ravi Jagannathan, Alexey Malakhov, Dmitry Novikov.

Format:

Book

Author/Creator:

Jagannathan, Ravi.

Contributor:

National Bureau of Economic Research.

Malakhov, Alexey.

Novikov, Dmitry.

Series:

Working Paper Series (National Bureau of Economic Research) no. w12015.

NBER working paper series no. w12015

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2006.

Summary:

We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. While we find significant performance persistence among superior funds we find little evidence of persistence among inferior funds.

Notes:

Print version record

February 2006.