Performance Persistence and the Source of Returns for Hedge Funds

Oklahoma State U, Agricultural Economics Working Paper

33 Pages Posted: 26 Aug 2002  

Ardian Harri

Toyota Motor Credit Corporation

B. Wade Brorsen

Oklahoma State University - Stillwater - Department of Agricultural Economics

Date Written: July 5, 2002

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.

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

JEL Classification: G13

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: https://ssrn.com/abstract=318379 or http://dx.doi.org/10.2139/ssrn.318379

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)

Paper statistics

Downloads
882
Rank
20,332
Abstract Views
3,806