Abstract

http://ssrn.com/abstract=1294324
 
 

References (14)



 
 

Citations (4)



 


 



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

Olga Kolokolova


University of Manchester - Manchester Business School

October 31, 2008


Abstract:     
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, G12

working papers series


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Date posted: November 3, 2008 ; Last revised: March 16, 2009

Suggested Citation

Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga, Recovering Delisting Returns of Hedge Funds (October 31, 2008). Available at SSRN: http://ssrn.com/abstract=1294324 or http://dx.doi.org/10.2139/ssrn.1294324

Contact Information

James Ernest Hodder
University of Wisconsin - Madison - School of Business ( email )
975 University Avenue
Madison, WI 53706
United States
608-262-8774 (Phone)
608-263-0477 (Fax)
Jens Carsten Jackwerth
University of Konstanz - Department of Economics ( email )
Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)
HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/
Olga Kolokolova (Contact Author)
University of Manchester - Manchester Business School ( email )
Booth Street West
Manchester, M15 6PB
United Kingdom
+44-161-306-2081 (Phone)
HOME PAGE: http://www.mbs.ac.uk/research/academicdirectory/profiles/olga.kolokolova.aspx
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