Performance persistence in hedge funds: Australian evidence

Viet Do, Robert Faff and Madhu Veeraraghavan

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 4, 346-362

Abstract: Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.

Keywords: Persistence; Hedge; funds; Stock; selection; Market; timing (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:4:p:346-362

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