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http://hdl.handle.net/10419/32151
  
Title:Recovering delisting returns of hedge funds PDF Logo
Authors:Hodder, James E.
Jackwerth, Jens Carsten
Kolokolova, Olga
Issue Date:2008
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,09
Abstract:Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-70522
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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