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Recovering Delisting Returns of Hedge FundsJames E. HodderUniversity of Wisconsin - Madison - School of Business Jens Carsten JackwerthUniversity of Konstanz - Department of Economics Olga KolokolovaUniversity 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 seriesDate posted: November 3, 2008 ; Last revised: March 16, 2009Suggested CitationContact Information
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