Abstract

http://ssrn.com/abstract=1519914
 
 

References (39)



 
 

Citations (12)



 


 



Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases


Adam L. Aiken


Quinnipiac University

Christopher P. Clifford


University of Kentucky

Jesse A. Ellis


North Carolina State University

July 6, 2012

Review of Financial Studies (Forthcoming)

Abstract:     
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, G23

Accepted Paper Series


Download This Paper

Date posted: December 19, 2009 ; Last revised: September 19, 2012

Suggested Citation

Aiken, Adam L. and Clifford, Christopher P. and Ellis, Jesse A., Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases (July 6, 2012). Review of Financial Studies (Forthcoming). Available at SSRN: http://ssrn.com/abstract=1519914 or http://dx.doi.org/10.2139/ssrn.1519914

Contact Information

Adam L. Aiken
Quinnipiac University ( email )
275 Mt. Carmel Avenue
Hamden, CT 06518
United States
Christopher P. Clifford (Contact Author)
University of Kentucky ( email )
College of Business & Economics
Lexington, KY 40506-0034
United States
859-257-3850 (Phone)
Jesse A. Ellis
North Carolina State University ( email )
Poole College of Management
Campus Box 7229
Raleigh, NC 27695
United States
919-515-9670 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 7,348
Downloads: 1,884
Download Rank: 3,633
References:  39
Citations:  12

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.344 seconds