Recovering Delisting Returns of Hedge Funds
James E. Hodder
University of Wisconsin - Madison - School of Business
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
University of Manchester - Manchester Business School
October 31, 2008
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedge-fund 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.
Number of Pages in PDF File: 27
Keywords: Return, Hedge Fund
JEL Classification: G11, G12working papers series
Date posted: November 3, 2008 ; Last revised: March 16, 2009
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo2 in 0.422 seconds