Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases
Adam L. Aiken
Christopher P. Clifford
University of Kentucky
Jesse A. Ellis
North Carolina State University
July 6, 2012
Review of Financial Studies (Forthcoming)
We examine the potential for selection bias in voluntarily reported hedge fund performance data. We construct a novel set of hedge fund returns that have never been reported to a commercial hedge fund database. These returns allow a direct comparison of performance between funds that choose to report to commercial databases and funds that do not. We find that funds that report their performance to commercial databases significantly outperform non-reporting funds. Our results suggest that the voluntarily reported performance in commercial databases suffers from a selection bias that may exaggerate the average skill of the universe of hedge fund managers.
Number of Pages in PDF File: 77
Keywords: Hedge Funds, Fund of Funds, Data Biases, Performance Measurement
JEL Classification: G11, G23Accepted Paper Series
Date posted: December 19, 2009 ; Last revised: September 19, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.438 seconds