Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Published Online:1 Feb 2013https://doi.org/10.1287/mnsc.1120.1647
References
- . The performance of hedge funds: Risk, return and incentives. J. Finance (1999) 54:833–874Crossref, Google Scholar
- . Hedge funds for retail investors? An examination of hedged mutual funds. J. Financial Quant. Anal. (2009a) 44:273–305Crossref, Google Scholar
- . Role of managerial incentives and discretion in hedge fund performance. J. Finance (2009b) 64:2221–2256Crossref, Google Scholar
- . Uncovering hedge fund skill from the portfolios they hide. J. Finance (2013) . ForthcomingCrossref, Google Scholar
- . Out of the dark: Hedge fund reporting biases and commercial databases. Rev. Financial Stud. (2013) 26:208–243Crossref, Google Scholar
- . Hedge fund leverage. J. Financial Econom. (2010) 102:102–126Crossref, Google Scholar
- . Do hedge funds hedge? J. Portfolio Management (2001) 28:6–19Crossref, Google Scholar
- . Hedge funds, managerial skill, and macroeconomic variables. J. Financial Econom. (2011) 99:672–692Crossref, Google Scholar
- . Survival, look-ahead bias, and persistence in hedge fund performance. J. Financial Quant. Anal. (2005) 40:493–517Crossref, Google Scholar
- . Conditional return smoothing in the hedge fund industry. J. Financial Quant. Anal. (2008) 43:267–298Crossref, Google Scholar
- . Performance persistence. J. Finance (1995) 50:679–698Crossref, Google Scholar
- . Do market participants care about portfolio disclosure? Evidence from hedge funds' 13Fs. (2012) . Working paper, New York University, New YorkGoogle Scholar
- . Offshore hedge funds: Survival and performance 1989–95. J. Bus. (1999) 72:91–117Crossref, Google Scholar
- . Survivorship bias in performance studies. Rev. Financial Stud. (1992) 5:553–580Crossref, Google Scholar
- . Hedge funds and the technology bubble. J. Finance (2004) 59:2013–2040Crossref, Google Scholar
- . On persistence in mutual fund performance. J. Finance (1997) 52:57–82Crossref, Google Scholar
- . Hedge funds: Pricing controls and the smoothing of self-reported returns. Rev. Financial Stud. (2011) 24:1698–1734Crossref, Google Scholar
- . Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Financial Econom. (2010) 97:239–262Crossref, Google Scholar
- . Risk taking by mutual funds as a response to incentives. J. Political Econom. (1997) 105:1167–1200Crossref, Google Scholar
- . For better or worse? Mutual funds in side-by-side management relationships with hedge funds. J. Financial Intermediation (2010) 19:169–187Crossref, Google Scholar
- . Regression models and life-tables (with discussion). J. Royal Statist. Soc. (1972) 34:187–220Google Scholar
- . Measuring mutual fund performance with characteristic-based benchmarks. J. Finance (1997) 52:1035–1058Crossref, Google Scholar
- . Share restrictions and investor flows in the hedge fund industry. (2009) . Working paper, State University of New York at Albany, AlbanyCrossref, Google Scholar
- . Hedge fund performance and manager skill. J. Futures Markets (2001) 21:1003–1028Crossref, Google Scholar
- . Survivorship bias and mutual fund performance. Rev. Financial Stud. (1996) 9:1097–1120Crossref, Google Scholar
- . Mutual fund incubation. J. Finance (2010) 65:1581–1611Crossref, Google Scholar
- . Empirical characteristics of dynamic trading strategies: The case of hedge funds. Rev. Financial Stud. (1997) 10:275–302Crossref, Google Scholar
- . Performance characteristics of hedge funds and CTA funds: Natural versus spurious biases. J. Financial Quant. Anal. (2000) 35:291–307Crossref, Google Scholar
- . Hedge-fund benchmarks: Information content and biases. Financial Analysts J. (2002) 58:22–34Crossref, Google Scholar
- . Measurement biases in hedge fund performance data: An update. Financial Analysts J. (2009) 65:36–38Crossref, Google Scholar
- . An econometric model of serial correlation and illiquidity in hedge fund returns. J. Financial Econom. (2004) 74:529–609Crossref, Google Scholar
- . How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financial Stud. (2009) 22:2531–2570Crossref, Google Scholar
- . Recovering delisting returns of hedge funds. (2008) . Working paper, University of Wisconsin–Madison, MadisonCrossref, Google Scholar
- . Investor learning and mutual fund flows. (2012) . Working paper, Cheung Kong Graduate School of Business, BeijingCrossref, Google Scholar
- . The strategic listing decisions of hedge funds. J. Financial Quant. Anal. (2013) . ForthcomingGoogle Scholar
- . Who needs hedge funds? A copula-based approach to hedge fund return replication. (2006) . Working paper, Cass Business School, LondonGoogle Scholar
- . What happened to the quants in August 2007? J. Investment Management (2007) 5:5–54Google Scholar
- . Handbook of Hedge Funds (2006) (John Wiley & Sons, West Sussex, UK) Google Scholar
- . On the performance of hedge funds. Financial Analysts J. (1999) 55:72–85Crossref, Google Scholar
- . Hedge funds: The living and the dead. J. Financial Quant. Anal. (2000) 35:309–326Crossref, Google Scholar
- . Reverse survivorship bias. J. Finance (2013) . ForthcomingCrossref, Google Scholar
- . Returns from investing in equity mutual funds 1971 to 1991. J. Finance (1995) 50:549–572Crossref, Google Scholar
- . Do hedge funds hold ‘trade secrets’? Bus. Week (2006) September 11). http://www.businessweek.com/Google Scholar
- . Side-by-side management of hedge funds and mutual funds. Rev. Financial Stud. (2010) 23:2342–2373Crossref, Google Scholar
- . Liquidity risk and expected stock returns. J. Political Econom. (2003) 111:642–685Crossref, Google Scholar
- . The delisting bias in CRSP data. J. Finance (1997) 52:327–340Crossref, Google Scholar
- . The delisting bias in CRSP's NASDAQ data and its implications for the size effect. J. Finance (1999) 54:2361–2379Crossref, Google Scholar
- . Costly search and mutual fund flows. J. Finance (1998) 53:1589–1622Crossref, Google Scholar
- . Hedge funds: Past, present, and future. J. Econom. Perspect. (2007) 21:175–194Crossref, Google Scholar
- . Fund liquidation, self-selection, and look-ahead bias in the hedge fund industry. Rev. Finance (2007) 11:605–632Crossref, Google Scholar
- . Eliminating look-ahead bias in evaluating persistence in mutual fund performance. J. Empirical Finance (2001) 8:345–373Crossref, Google Scholar

