David A. Hsieh

Duke University - Fuqua School of Business

Professor of Finance and Economics

Department of Finance

Box 90120

Durham, NC 27708-0120

United States

Duke University - Department of Economics

213 Social Sciences Building

Box 90097

Durham, NC 27708-0204

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Duke University - Fuqua School of Business

    • Email
    • Tel: 919-660-7779
    • Fax: 919-660-7961

  • Duke University - Department of Economics

SCHOLARLY PAPERS

21

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14,752

TOTAL CITATIONS
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Top 2,817

in Total Papers Citations

139

Scholarly Papers (21)

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1.

Hedge Funds: Performance, Risk, and Capital Formation

Downloads 6,084 ( 2,641)
Citation 91

Hedge Funds: Performance, Risk, and Capital Formation

The Journal of Finance, Vol. LXIII, No. 4, August 2008
Number of pages: 44 Posted: 16 Aug 2005 Last Revised: 11 Jul 2011
William Fung, David A. Hsieh, Tarun Ramadorai and Narayan Y. Naik
PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting
Downloads 6,029 (2,649)
Citation 8

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hedge funds, funds-of-funds, performance, alpha, survival, flows, capacity constraints

Hedge Funds: Performance, Risk and Capital Formation

CEPR Discussion Paper No. 5565
Number of pages: 33 Posted: 27 Jun 2006
William Fung, David A. Hsieh, Tarun Ramadorai and Narayan Y. Naik
PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting
Downloads 55 (746,284)
Citation 83
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Hedge funds, performance, alpha, factor models, flow, funds-of-hedge funds

2.

Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases

Downloads 3,613 ( 6,418)
Citation 11

Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases

Number of pages: 24 Posted: 20 Aug 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 3,613 (6,303)
Citation 11

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Hedge funds, benchmarks, performance, styles

Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases

Posted: 27 Oct 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Hedge funds, benchmarks, performance, styles

3.

Asset-Based Hedge-Fund Styles and Portfolio Diversification

Downloads 2,956 ( 8,817)
Citation 6

Asset-Based Hedge-Fund Styles and Portfolio Diversification

Duke University Fuqua School of Business Working Paper
Number of pages: 37 Posted: 12 Aug 2001
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 2,956 (8,660)
Citation 6

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Hedge Fund, Style, Risk, Portfolio Diversification

Asset-Based Hedge-Fund Styles and Portfolio Diversification

Posted: 16 Jul 2002
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Hedge Fund, Style, Risk, Portfolio Diversification

4.

Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms

Number of pages: 61 Posted: 15 Oct 2012 Last Revised: 30 Mar 2015
Daniel Edelman, William Fung and David A. Hsieh
Independent, PI Asset Management, LLC and Duke University - Fuqua School of Business
Downloads 720 (72,037)
Citation 6

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hedge funds, asset management

5.

Hedge Fund Franchises

Management Science, Forthcoming
Number of pages: 54 Posted: 24 Dec 2014 Last Revised: 11 Dec 2018
William Fung, David A. Hsieh, Narayan Y. Naik and Melvyn Teo
PI Asset Management, LLC, Duke University - Fuqua School of Business, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 509 (111,494)
Citation 12

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hedge funds, first funds, follow-on funds, spillover, agency problems

6.

Estimation of Stochastic Volatility Models with Diagnostics

Number of pages: 42 Posted: 27 Nov 1997
A. Ronald Gallant, David A. Hsieh and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Duke University - Fuqua School of Business and Duke University - Economics Group
Downloads 502 (113,357)
Citation 11

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7.

Estimating Proportional Hazards in Default and Prepayment of Personal Loans with Unobserved Borrower Heterogeneity

Number of pages: 40 Posted: 15 Nov 2022
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 105 (509,286)

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Proportional hazards, unobserved heterogeneity, fixed interval sampling, default, prepayment, personal loans

8.

The Profitability of Currency Speculation

NBER Working Paper No. w1197
Number of pages: 41 Posted: 23 Aug 2000 Last Revised: 10 Oct 2022
John F. O. Bilson and David A. Hsieh
Illinois Institute of Technology and Duke University - Fuqua School of Business
Downloads 103 (516,515)
Citation 1

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9.

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets

Number of pages: 20 Posted: 25 May 2006
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 56 (724,625)
Citation 1

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10.

Estimating Difference-in-Differences in Time-To-Event Models: Some Simulation Results

Number of pages: 30 Posted: 30 May 2024
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 37 (855,731)

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time-to-event models, survival models, difference-in-differences estimation, competing risks, maximum likelihood estimation, proportional hazard models

11.

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats

NBER Working Paper No. w0843
Number of pages: 20 Posted: 26 May 2009 Last Revised: 26 Oct 2022
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 34 (880,911)

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12.

International Risk Sharing and the Choice of Exchange-Rate Regime

NBER Working Paper No. w0842
Number of pages: 17 Posted: 10 Oct 2007 Last Revised: 26 Oct 2022
David A. Hsieh
Duke University - Fuqua School of Business
Downloads 33 (889,696)

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13.

Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update

Financial Analysts Journal, Vol. 65, No. 3, 2009
Posted: 05 Jun 2009
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Performance Measurement and Evaluation, Performance Measurement, Portfolio Management, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

14.

Will Hedge Funds Regress Towards Index-Like Products?

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
William Fung and David A. Hsieh
affiliation not provided to SSRN and Duke University - Fuqua School of Business

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Hedge fund, rule-based trading strategy, synthetic hedge fund, passive index fund, trend follower, merger arbitrage strategy, alternative alpha, alternative beta

15.

Extracting Portable Alphas from Equity Long-Short Hedge Funds

Journal of Investment Management, Vol. 2, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Hedge funds

16.

Hedge Fund Benchmarks: A Risk-Based Approach

Posted: 05 Nov 2004
William Fung and David A. Hsieh
PI Asset Management, LLC and Duke University - Fuqua School of Business

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Portfolio Management: Hedge Fund Strategies, Alternative Investments: Hedge Fund Strategies, Risk Measurement and Management: Alternative Investments

17.

Asset-Based Style Factors for Hedge Funds

Posted: 20 Mar 2003
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Alternative Investments, hedge funds

18.

Hedge-Fund Benchmarks: Information Content and Biases

Posted: 02 Mar 2002
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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19.

The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

Posted: 11 Nov 2001
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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Hedge fund, risk management, style factors, trend following, options

20.

Performance Characteristics of Hedge Funds and Cta Funds: Natural Vs. Spurious Biases

Posted: 24 Jan 2001
David A. Hsieh and William Fung
Duke University - Fuqua School of Business and PI Asset Management, LLC

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21.

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 23 Apr 1997
William Fung Arms and David A. Hsieh
Duke University and Duke University - Fuqua School of Business

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