Arbeitspapier
Recovering delisting returns of hedge funds
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 08/09
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Hodder, James E.
Jackwerth, Jens Carsten
Kolokolova, Olga
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2008
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-70522
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hodder, James E.
- Jackwerth, Jens Carsten
- Kolokolova, Olga
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2008
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