Assessing the impact of heteroskedasticity for evaluating hedge fund performance
Tài liệu tham khảo
Ackermann, 1999, The performance of hedge funds: Risk, return, and incentives, Journal of Finance, 54, 833, 10.1111/0022-1082.00129
Agarwal, V., Bakshi, G., and Huij, J. (2008). Dynamic investment opportunities and the cross-section of hedge fund returns: Implications of higher-moment risks for performance. Working Paper No. RHS-06-066. University of Maryland.
Agarwal, 2004, Risks and portfolio decisions involving hedge funds, Review of Financial Studies, 17, 63, 10.1093/rfs/hhg044
Amin, 2003, Hedge fund performance 1990–2000: Do the money machine really add value?, Journal of Financial and Quantitative Analysis, 38, 251, 10.2307/4126750
Berk, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy, 112, 1269, 10.1086/424739
Blake, 1999, Asset allocation dynamics and pension fund performance, Journal of Business, 72, 429, 10.1086/209623
Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1
Boyson, 2008, Hedge fund performance persistence: A new approach, Financial Analysts Journal, 64, 27, 10.2469/faj.v64.n6.6
Brooks, 2002, The statistical properties of hedge fund index returns and their implications for investors, The Journal of Alternative Investments, 5, 26, 10.3905/jai.2002.319053
Brown, 1992, Offshore hedge funds: Survival and performance, 1989–1995, Journal of Business, 72, 91, 10.1086/209603
Brown, 1995, Performance persistence, Journal of Finance, 50, 679, 10.2307/2329424
Carhart, 1997, On persistence in mutual fund performance, Journal of Finance, 52, 57, 10.2307/2329556
Chen, 1981, Risk decomposition and portfolio diversification when beta is nonstationary: A note, Journal of Finance, 36, 941, 10.2307/2327558
Cribari-Neto, 1999, Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing, Econometric Reviews, 18, 211, 10.1080/07474939908800440
Davidson, 1999, The wild bootstrap, Tamed at last, Journal of Econometrics, 146, 162, 10.1016/j.jeconom.2008.08.003
Davidson, 2004
Fama, 1993, Common risk factors in the returns on bonds and stocks, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5
Fama, 2010, Luck versus skill in the cross section of mutual fund returns, Journal of Finance, 65, 1915, 10.1111/j.1540-6261.2010.01598.x
Ferson, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance, 51, 425, 10.2307/2329367
Flachaire, 2005, Bootstrapping heteroskedastic regression models: Wild bootstrap vs. pairs bootstrap, Computational Statistics and Data Analysis, 49, 361, 10.1016/j.csda.2004.05.018
Friend, 1970, Measurement of portfolio performance under uncertainty, The American Economic Review, 60, 561
Fung, 1997, Empirical characteristics of dynamic trading strategies: The case of hedge funds, Review of Financial Studies, 10, 275, 10.1093/rfs/10.2.275
Fung, 2004, Hedge fund bench marks: A risk based approach, Financial Analyst Journal, 60, 65, 10.2469/faj.v60.n5.2657
Fung, 2009, Measurement biases in hedge fund performance data: An update, Financial Analysts Journal, 65, 36, 10.2469/faj.v65.n3.6
Goncalves, 2004, Bootstrapping autoregressoins with heteroskedasticity of unknown form, Journal of Econometrics, 123, 89, 10.1016/j.jeconom.2003.10.030
Grinblatt, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, The American Economic Review, 85, 1088
Hall, 1992
Hansen, 1999, The grid bootstrap and the autoregressive models, The Review of Economics and Statistics, 81, 594, 10.1162/003465399558463
Hinkley, 1977, Jackknifing in unbalanced situations, Technometrics, 19, 285, 10.2307/1267698
Horowitz, 1997, Bootstrap methods in econometrics: Theory and numerical performance, Vol. III, 188
Jensen, 1968, Problems in selection of security portfolios: The importance of mutual funds in the period 1945–1964, Journal of Finance, 32, 389, 10.2307/2325404
Judge, 1985
Kosowski, 2007, Do hedge funds deliver alpha? A Bayesian and bootstrap analysis, Journal of Financial Economics, 84, 229, 10.1016/j.jfineco.2005.12.009
Kosowski, 2006, Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, Journal of Finance, 61, 2551, 10.1111/j.1540-6261.2006.01015.x
Liang, 2000, Hedge funds: The living and the dead, Journal of Financial and Quantitative Analysis, 35, 309, 10.2307/2676206
Liu, 1988, Bootstrap procedure under some non-I.I.D. models, Annals of Statistics, 16, 1696, 10.1214/aos/1176351062
Mammen, 1993, Bootstrap and wild bootstrap for high dimensional linear models, Annals of Statistics, 21, 255, 10.1214/aos/1176349025
Newey, 1987, A positive semi-definite, heteroskedasticity and auto-correlated covariance matrix, Econometrica, 55, 703, 10.2307/1913610
Sharpe, 1966, Mutual fund performance, Journal of Business, 39, 119, 10.1086/294846
Wermers, 2000, Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses, Journal of Finance, 55, 1655, 10.1111/0022-1082.00263