Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings

Published Online:https://doi.org/10.1287/mnsc.1120.1647

References

  • Ackermann C, McEnally R, Ravenscraft D. The performance of hedge funds: Risk, return and incentives. J. Finance (1999) 54:833–874CrossrefGoogle Scholar
  • Agarwal V, Boyson NM, Naik NY. Hedge funds for retail investors? An examination of hedged mutual funds. J. Financial Quant. Anal. (2009a) 44:273–305CrossrefGoogle Scholar
  • Agarwal V, Daniel ND, Naik NY. Role of managerial incentives and discretion in hedge fund performance. J. Finance (2009b) 64:2221–2256CrossrefGoogle Scholar
  • Agarwal V, Jiang W, Tang Y, Yang B. Uncovering hedge fund skill from the portfolios they hide. J. Finance (2013) . ForthcomingCrossrefGoogle Scholar
  • Aiken AL, Clifford CP, Ellis J. Out of the dark: Hedge fund reporting biases and commercial databases. Rev. Financial Stud. (2013) 26:208–243CrossrefGoogle Scholar
  • Ang A, Gorovyy S, van Inwegen GB. Hedge fund leverage. J. Financial Econom. (2010) 102:102–126CrossrefGoogle Scholar
  • Asness C, Krail R, Liew J. Do hedge funds hedge? J. Portfolio Management (2001) 28:6–19CrossrefGoogle Scholar
  • Avramov D, Kosowski R, Naik NY, Teo M. Hedge funds, managerial skill, and macroeconomic variables. J. Financial Econom. (2011) 99:672–692CrossrefGoogle Scholar
  • Baquero G, ter Horst JR, Verbeek M. Survival, look-ahead bias, and persistence in hedge fund performance. J. Financial Quant. Anal. (2005) 40:493–517CrossrefGoogle Scholar
  • Bollen NP, Pool VK. Conditional return smoothing in the hedge fund industry. J. Financial Quant. Anal. (2008) 43:267–298CrossrefGoogle Scholar
  • Brown SJ, Goetzmann WN. Performance persistence. J. Finance (1995) 50:679–698CrossrefGoogle Scholar
  • Brown SJ, Schwarz C. Do market participants care about portfolio disclosure? Evidence from hedge funds' 13Fs. (2012) . Working paper, New York University, New YorkGoogle Scholar
  • Brown SJ, Goetzmann WN, Ibbotson RG. Offshore hedge funds: Survival and performance 1989–95. J. Bus. (1999) 72:91–117CrossrefGoogle Scholar
  • Brown SJ, Goetzmann WN, Ibbotson RG, Ross SA. Survivorship bias in performance studies. Rev. Financial Stud. (1992) 5:553–580CrossrefGoogle Scholar
  • Brunnermeier M, Nagel S. Hedge funds and the technology bubble. J. Finance (2004) 59:2013–2040CrossrefGoogle Scholar
  • Carhart M. On persistence in mutual fund performance. J. Finance (1997) 52:57–82CrossrefGoogle Scholar
  • Cassar G, Gerakos JJ. Hedge funds: Pricing controls and the smoothing of self-reported returns. Rev. Financial Stud. (2011) 24:1698–1734CrossrefGoogle Scholar
  • Chen Q, Goldstein I, Jiang W. Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Financial Econom. (2010) 97:239–262CrossrefGoogle Scholar
  • Chevalier J, Ellison G. Risk taking by mutual funds as a response to incentives. J. Political Econom. (1997) 105:1167–1200CrossrefGoogle Scholar
  • Cici G, Gibson S, Moussawi R. For better or worse? Mutual funds in side-by-side management relationships with hedge funds. J. Financial Intermediation (2010) 19:169–187CrossrefGoogle Scholar
  • Cox DR. Regression models and life-tables (with discussion). J. Royal Statist. Soc. (1972) 34:187–220Google Scholar
  • Daniel K, Grinblatt M, Titman S, Wermers R. Measuring mutual fund performance with characteristic-based benchmarks. J. Finance (1997) 52:1035–1058CrossrefGoogle Scholar
  • Ding B, Getmansky M, Liang B, Wermers R. Share restrictions and investor flows in the hedge fund industry. (2009) . Working paper, State University of New York at Albany, AlbanyCrossrefGoogle Scholar
  • Edwards FR, Caglayan MO. Hedge fund performance and manager skill. J. Futures Markets (2001) 21:1003–1028CrossrefGoogle Scholar
  • Elton EJ, Gruber MJ, Blake CR. Survivorship bias and mutual fund performance. Rev. Financial Stud. (1996) 9:1097–1120CrossrefGoogle Scholar
  • Evans RB. Mutual fund incubation. J. Finance (2010) 65:1581–1611CrossrefGoogle Scholar
  • Fung W, Hsieh DA. Empirical characteristics of dynamic trading strategies: The case of hedge funds. Rev. Financial Stud. (1997) 10:275–302CrossrefGoogle Scholar
  • Fung W, Hsieh DA. Performance characteristics of hedge funds and CTA funds: Natural versus spurious biases. J. Financial Quant. Anal. (2000) 35:291–307CrossrefGoogle Scholar
  • Fung W, Hsieh DA. Hedge-fund benchmarks: Information content and biases. Financial Analysts J. (2002) 58:22–34CrossrefGoogle Scholar
  • Fung W, Hsieh DA. Measurement biases in hedge fund performance data: An update. Financial Analysts J. (2009) 65:36–38CrossrefGoogle Scholar
  • Getmansky M, Lo AW, Makarov I. An econometric model of serial correlation and illiquidity in hedge fund returns. J. Financial Econom. (2004) 74:529–609CrossrefGoogle Scholar
  • Griffin J, Xu J. How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financial Stud. (2009) 22:2531–2570CrossrefGoogle Scholar
  • Hodder JE, Jackwerth JC, Kolokolova O. Recovering delisting returns of hedge funds. (2008) . Working paper, University of Wisconsin–Madison, MadisonCrossrefGoogle Scholar
  • Huang JC, Wei KD, Yan H. Investor learning and mutual fund flows. (2012) . Working paper, Cheung Kong Graduate School of Business, BeijingCrossrefGoogle Scholar
  • Jorion P, Schwarz C. The strategic listing decisions of hedge funds. J. Financial Quant. Anal. (2013) . ForthcomingGoogle Scholar
  • Kat H, Palaro H. Who needs hedge funds? A copula-based approach to hedge fund return replication. (2006) . Working paper, Cass Business School, LondonGoogle Scholar
  • Khandani A, Lo A. What happened to the quants in August 2007? J. Investment Management (2007) 5:5–54Google Scholar
  • Lhabitant F-S. Handbook of Hedge Funds (2006) (John Wiley & Sons, West Sussex, UK) Google Scholar
  • Liang B. On the performance of hedge funds. Financial Analysts J. (1999) 55:72–85CrossrefGoogle Scholar
  • Liang B. Hedge funds: The living and the dead. J. Financial Quant. Anal. (2000) 35:309–326CrossrefGoogle Scholar
  • Linnainmaa JT. Reverse survivorship bias. J. Finance (2013) . ForthcomingCrossrefGoogle Scholar
  • Malkiel BG. Returns from investing in equity mutual funds 1971 to 1991. J. Finance (1995) 50:549–572CrossrefGoogle Scholar
  • McCormack K. Do hedge funds hold ‘trade secrets’? Bus. Week (2006) September 11). http://www.businessweek.com/Google Scholar
  • Nohel T, Wang ZJ, Zheng L. Side-by-side management of hedge funds and mutual funds. Rev. Financial Stud. (2010) 23:2342–2373CrossrefGoogle Scholar
  • Pastor L, Stambaugh RF. Liquidity risk and expected stock returns. J. Political Econom. (2003) 111:642–685CrossrefGoogle Scholar
  • Shumway T. The delisting bias in CRSP data. J. Finance (1997) 52:327–340CrossrefGoogle Scholar
  • Shumway T, Warther VA. The delisting bias in CRSP's NASDAQ data and its implications for the size effect. J. Finance (1999) 54:2361–2379CrossrefGoogle Scholar
  • Sirri E, Tufano P. Costly search and mutual fund flows. J. Finance (1998) 53:1589–1622CrossrefGoogle Scholar
  • Stulz R. Hedge funds: Past, present, and future. J. Econom. Perspect. (2007) 21:175–194CrossrefGoogle Scholar
  • ter Horst JR, Verbeek M. Fund liquidation, self-selection, and look-ahead bias in the hedge fund industry. Rev. Finance (2007) 11:605–632CrossrefGoogle Scholar
  • ter Horst JR, Nijman T, Verbeek M. Eliminating look-ahead bias in evaluating persistence in mutual fund performance. J. Empirical Finance (2001) 8:345–373CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.