메뉴 건너뛰기




Volumn 14, Issue 2, 2004, Pages 131-141

Performance persistence and the source of returns for hedge funds

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC CONDITIONS; FINANCIAL MARKET; INVESTMENT; PERFORMANCE ASSESSMENT;

EID: 1242288449     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000176407     Document Type: Article
Times cited : (53)

References (22)
  • 1
    • 0009164330 scopus 로고    scopus 로고
    • The performance of hedge funds: Risk, return and incentives
    • Ackerman, C., McEnally, R. and Ravenscraft, D. (1999) The performance of hedge funds: risk, return and incentives, Journal of Finance, 54, 833-74.
    • (1999) Journal of Finance , vol.54 , pp. 833-874
    • Ackerman, C.1    McEnally, R.2    Ravenscraft, D.3
  • 3
    • 0038239964 scopus 로고    scopus 로고
    • On taking the 'alternative' route: Risks, rewards style and performance persistence of hedge funds
    • Agarwal, V. and Naik, N. Y. (2000b) On taking the 'alternative' route: risks, rewards style and performance persistence of hedge funds, Journal of Alternative Investments, 2, 6-23.
    • (2000) Journal of Alternative Investments , vol.2 , pp. 6-23
    • Agarwal, V.1    Naik, N.Y.2
  • 4
    • 0003474934 scopus 로고    scopus 로고
    • Working Paper No. 00-29, Yale International Center for Finance (available at)
    • Brown, S. J. and Goetzmann, W. N. (2001) Hedge funds with style, Working Paper No. 00-29, Yale International Center for Finance (available at: http://papers.ssrn.com/paper.tuf?abstract_ID=261068).
    • (2001) Hedge Funds With Style
    • Brown, S.J.1    Goetzmann, W.N.2
  • 5
    • 0011065327 scopus 로고    scopus 로고
    • Offshore hedge funds: Survival and performance 1989-1995
    • Brown, S. J., Goetzmann, W. N. and Ibbotson, R. G. (1999) Offshore hedge funds: survival & performance 1989-1995, Journal of Business, 72, 91-117.
    • (1999) Journal of Business , vol.72 , pp. 91-117
    • Brown, S.J.1    Goetzmann, W.N.2    Ibbotson, R.G.3
  • 6
    • 1242300561 scopus 로고    scopus 로고
    • Conditions for survival: Changing risk and the performance of hedge fund managers and CTAs
    • Brown, S. J., Goetzmann, W. N.and Park, J. (1997) Conditions for survival: changing risk and the performance of hedge fund managers and CTAs, Review of Financial Studies, 5, 553-80.
    • (1997) Review of Financial Studies , vol.5 , pp. 553-580
    • Brown, S.J.1    Goetzmann, W.N.2    Park, J.3
  • 9
    • 0011409544 scopus 로고
    • A posterior odds analysis of the weekend effect
    • Connolly, R. A. (1991) A posterior odds analysis of the weekend effect, Journal of Econometrics, 49, 51-104.
    • (1991) Journal of Econometrics , vol.49 , pp. 51-104
    • Connolly, R.A.1
  • 10
    • 1242278179 scopus 로고    scopus 로고
    • Induced persistence or reversals in fund performance?: The effect of survivorship bias
    • Faff, R. W. and Hallahan, T. A. (2001) Induced persistence or reversals in fund performance?: the effect of survivorship bias, Applied Financial Economics, 11, 119-26.
    • (2001) Applied Financial Economics , vol.11 , pp. 119-126
    • Faff, R.W.1    Hallahan, T.A.2
  • 11
    • 0031519866 scopus 로고    scopus 로고
    • Empirical characteristics of dynamic trading strategies: The case of hedge funds
    • Fung, W. and Hsieh, D. A. (1997) Empirical characteristics of dynamic trading strategies: the case of hedge funds, The Review of Financial Studies, 10, 275-302.
    • (1997) The Review of Financial Studies , vol.10 , pp. 275-302
    • Fung, W.1    Hsieh, D.A.2
  • 12
    • 0034416371 scopus 로고    scopus 로고
    • Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases
    • Fung, W. and Hsieh, D. A. (2000) Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases, Journal of Financial and Quantitative Analysis, 35, 291-307.
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 291-307
    • Fung, W.1    Hsieh, D.A.2
  • 14
    • 0006218042 scopus 로고    scopus 로고
    • On the performance of hedge funds
    • Liang, B. (1999) On the performance of hedge funds, Financial Analysts Journal, 55, 72-85.
    • (1999) Financial Analysts Journal , vol.55 , pp. 72-85
    • Liang, B.1
  • 17
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 18
    • 0040725211 scopus 로고    scopus 로고
    • Bull market has a bumper crop: Hedge funds
    • 5 June, C15
    • Pacelle, M. (1998) Bull market has a bumper crop: hedge funds, Wall Street Journal, 5 June, C1, C15.
    • (1998) Wall Street Journal
    • Pacelle, M.1
  • 20
    • 1242278180 scopus 로고    scopus 로고
    • Estimating fees for managed futures: A continuous-time model with a knockout feature
    • Richter, F. G.-C. and Brorsen, B. W. (2000) Estimating fees for managed futures: a continuous-time model with a knockout feature, Applied Mathematical Finance, 7, 115-35.
    • (2000) Applied Mathematical Finance , vol.7 , pp. 115-135
    • Richter, F.G.-C.1    Brorsen, B.W.2
  • 21
    • 0002716956 scopus 로고
    • Asset allocation: Management style and performance measurement
    • Sharpe, W. F. (1992) Asset allocation: management style and performance measurement, Journal of Portfolio Management, 18, 7-19.
    • (1992) Journal of Portfolio Management , vol.18 , pp. 7-19
    • Sharpe, W.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.