Abstract

http://ssrn.com/abstract=318379
 
 

References (19)



 
 

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Performance Persistence and the Source of Returns for Hedge Funds


Ardian Harri


Toyota Motor Credit Corporation

B. Wade Brorsen


Oklahoma State University - Stillwater - Department of Agricultural Economics

July 5, 2002

Oklahoma State U, Agricultural Economics Working Paper

Abstract:     
This paper tests whether performance persistence exists in the hedge fund industry in the sense that some funds have consistently higher returns than others. Several procedures are used to determine if performance persists. The results show that performance persists in hedge funds with some funds showing the greatest persistence across all the procedures. The results also indicate a strong negative relation between hedge fund capitalization and returns. The results are consistent with the hypothesis that hedge fund managers exploit market inefficiencies.

Number of Pages in PDF File: 33

Keywords: hedge funds, performance persistence, style analysis, overlapping data

JEL Classification: G13

working papers series


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Date posted: August 26, 2002  

Suggested Citation

Harri, Ardian and Brorsen , B. Wade, Performance Persistence and the Source of Returns for Hedge Funds (July 5, 2002). Oklahoma State U, Agricultural Economics Working Paper. Available at SSRN: http://ssrn.com/abstract=318379 or http://dx.doi.org/10.2139/ssrn.318379

Contact Information

Ardian Harri
Toyota Motor Credit Corporation ( email )
2420 Ward St.
Torrance, CA 90505
United States
310-468-3766 (Phone)
310-381-6951 (Fax)
B. Wade Brorsen (Contact Author)
Oklahoma State University - Stillwater - Department of Agricultural Economics ( email )
Stillwater, OK 74078-6026
United States
405-744-6836 (Phone)
405-744-8210 (Fax)
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