Recovering Delisting Returns of Hedge Funds

Jens Carsten Jackwerth, Olga Kolokolova and James E. Hodder

MPRA Paper from University Library of Munich, Germany

Abstract: Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds’ returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.

Keywords: Hedge; Funds (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Date: 2008-03-11, Revised 2008-10-31
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Recovering Delisting Returns of Hedge Funds (2014)
Working Paper: Recovering Delisting Returns of Hedge Funds (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:11641

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