Assessing the impact of heteroskedasticity for evaluating hedge fund performance

International Review of Financial Analysis - Tập 20 - Trang 12-19 - 2011
Andrew Marshall1, Leilei Tang1
1University of Strathclyde, Scotland, UK

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