Article (Scientific journals)
Analysis of hedge fund performance
Capocci, Daniel; Hübner, Georges
2004In Journal of Empirical Finance, 11 (1), p. 55-89
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Keywords :
Hedge fund performance; Asset pricing models
Abstract :
[en] Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart's (1997) specification combined with the Fama and French (1998) and Agarwal and Naik (2002) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for more than half of the hedge funds categories, and for all funds in general. The performance of hedge funds for several individual strategies and different subperiods, including the Asian Crisis period, indicates limited evidence of persistence in performance but not for extreme performers.
Disciplines :
Finance
Author, co-author :
Capocci, Daniel
Hübner, Georges  ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière
Language :
English
Title :
Analysis of hedge fund performance
Publication date :
January 2004
Journal title :
Journal of Empirical Finance
ISSN :
0927-5398
Publisher :
Elsevier Science
Volume :
11
Issue :
1
Pages :
55-89
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 07 January 2010

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