Performance Persistence and the Source of Returns for Hedge Funds
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
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
Date posted: August 26, 2002
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