Recovering Delisting Returns of Hedge Funds

James E. Hodder (), Jens Carsten Jackwerth () and Olga Kolokolova ()
Additional contact information
James E. Hodder: School of Business, University of Wisconsin-Madison, USA
Jens Carsten Jackwerth: Department of Economics, University of Konstanz, Germany
Olga Kolokolova: Master Business School,The University of Manchester, United Kingdom

No 2012-34, Working Paper Series of the Department of Economics, University of Konstanz from Department of Economics, University of Konstanz

Abstract: Numerous hedge funds stop reporting each year to commercial data bases, wreaking havoc with analyzing investment strategies which 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

Keywords: hedge funds; delisting returns; exit returns (search for similar items in EconPapers)
JEL-codes: G11 G13 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2012-09-24
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Recovering Delisting Returns of Hedge Funds (2014)
Working Paper: Recovering Delisting Returns of Hedge Funds (2008)
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