Influence of Selected Factors on Hedge Fund Return

Stanislav Hába ()
Additional contact information
Stanislav Hába: University of Economics, Prague

Chapter Chapter 13 in New Trends in Finance and Accounting, 2017, pp 139-148 from Springer

Abstract: Abstract This paper deals with a unique form of an alternative investment: hedge funds. Specifically, the paper researches the influence of certain factors on hedge fund returns. Specifically, four factors are tested: (1) inclusion of funds into market hedge fund index, (2) possibility to close to new investors, (3) type and level of charged fees and (4) reporting delay/concealment. The data are compiled for more than 4000 funds for 23 years and cover all types and statuses of hedge funds. The most important results found no significant additional yield for increased remuneration for fund administration. Additionally, the regression confirmed the hypothesis of the time return decay in most hedge funds (so-called backfill bias). The other two hypotheses of market inclusion and openness to new capital have not been validated on a significant level. Throughout the whole text, the paper describes typical problems that are connected with hedge funds and their respective data.

Keywords: Hedge fund; Investment management; Portfolio return (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-49559-0_13

Ordering information: This item can be ordered from
http://www.springer.com/9783319495590

DOI: 10.1007/978-3-319-49559-0_13

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().