Recovering Delisting Returns of Hedge Funds

James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova

Journal of Financial and Quantitative Analysis, 2014, vol. 49, issue 3, 797-815

Abstract: Numerous hedge funds stop reporting each year to commercial databases, wreaking havoc with analyzing investment strategies that incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns “tips them over the edge” and leads to delisting.

Date: 2014
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Related works:
Working Paper: Recovering Delisting Returns of Hedge Funds (2012)
Working Paper: Recovering Delisting Returns of Hedge Funds (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:49:y:2014:i:03:p:797-815_00

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