Correcting for the Backfill Bias in Hedge Fund Databases, Appendix To: Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation

5 Pages Posted: 17 Jun 2013

See all articles by Ravi Jagannathan

Ravi Jagannathan

Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF); Indian School of Business (ISB), Hyderabad

Alexey Malakhov

University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance

Dmitry Novikov

Credit Suisse

Date Written: June 12, 2013

Abstract

The backfill bias is an important feature of hedge fund databases - the case when hedge funds bring all the history with them when they join a database. We describe a backfill bias correction methodology that could be applied if the exact length of the backfill period is unknown.

The paper "Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=686604

Keywords: backfill correction

JEL Classification: G11, G23

Suggested Citation

Jagannathan, Ravi and Malakhov, Alexey and Novikov, Dmitry, Correcting for the Backfill Bias in Hedge Fund Databases, Appendix To: Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (June 12, 2013). Available at SSRN: https://ssrn.com/abstract=2278686 or http://dx.doi.org/10.2139/ssrn.2278686

Ravi Jagannathan

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
429 Andersen Hall
Evanston, IL 60208
United States
847-491-8338 (Phone)
847-491-5719 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Indian School of Business (ISB), Hyderabad ( email )

Hyderabad, Gachibowli 500 019
India

Alexey Malakhov (Contact Author)

University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance ( email )

Fayetteville, AR 72701
United States
479-575-6118 (Phone)
479-575-4230 (Fax)

HOME PAGE: http://www.alexeymalakhov.com

Dmitry Novikov

Credit Suisse ( email )

CRTI 4
P.O. Box
Zurich, CH-8070
Switzerland

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