Regulatory induced performance persistence: Evidence from hedge funds

Journal of Corporate Finance

Volumn 18, Issue 5, 2012, Pages 1005-1022

  Cumming, Douglas ^a   Dai, Na ^b   Haß, Lars Helge ^c   Schweizer, Denis ^d  

^a YORK UNIVERSITY   (Canada)

^b STATE UNIVERSITY OF NEW YORK   (United States)

^c LANCASTER UNIVERSITY MANAGEMENT SCHOOL   (United Kingdom)

^d WHU OTTO BEISHEIM SCHOOL OF MANAGEMENT   (Germany)

Author keywords

Hedge funds; Law and finance; Performance persistence

Indexed keywords

EID: 84864266046     PISSN: 09291199     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jcorpfin.2012.06.009     Document Type: Article

References (38)

1. Agarwal V., Naik N.Y. Multi-period performance persistence analysis of hedge funds. J. Financ. Quant. Anal. 2000, 35:327-342.
2. Agarwal V., Daniel N., Naik N.Y. Flows, performance, and managerial incentives in the hedge fund industry. London Business School Working Paper 2006.
3. Agarwal V., Daniel N., Naik N.Y. Why is Santa so kind to hedge funds? The December return puzzle. London Business School Working Paper 2007.
4. Baquero G., Horst J.T., Verbeek M. Survival, look-ahead bias, and persistence in hedge fund performance. J. Financ. Quant. Anal. 2005, 40:493-517.
5. Barth J.R., Caprio G., Levine R. Financial regulation and performance: cross-country evidence. Banking, Financial Integration, and International Crises 2002, 113-142. Central Bank of Chile.
6. Bollen N.P.B., Pool V.K. Conditional return smoothing in the hedge fund industry. J. Financ. Quant. Anal. 2008, 43:267-298.
7. Bollen N.P.B., Pool V.K. Do hedge fund managers misreport returns? Evidence from the pooled distribution. J. Finance 2009, 64:2257-2288.
8. Brown S., Goetzmann W., Liang B., Schwarz C. Mandatory disclosure and operational risk: evidence from hedge fund registration. J. Finance 2008, 63:2785-2815.
9. Cassar G., Gerakos J. Determinants of hedge fund internal controls and fees. Account. Rev. 2009, 85:1887-1919.
10. Cassar, G., Gerakos, J., forthcoming. Hedge funds: pricing controls and the smoothing of self-reported returns. Rev. Financ. Stud.
11. Chou J., Ng L., Wang Q. Are better governed funds better monitors?. J. Corp. Finance. 2011, 17:1254-1271.
12. Clifford C.P. Value creation or destruction? Hedge funds as shareholder activists. J. Corp. Finance 2008, 14:323-336.
13. Cumming D.J., Dai N. Capital flows and hedge fund regulation. J. Empirical Legal Stud. 2009, 6:848-873.
14. Cumming D.J., Dai N. A law and finance analysis of hedge funds. Financ. Manage. 2010, 39:997-1026.
15. Cumming D.J., Dai N. Hedge fund regulation and misreported returns. Eur. Financ. Manage. 2010, 16:829-867.
16. Cumming D.J., Johan S.A. Hedge fund forum shopping. U. Penn. J. Int. Bus. Law 2008, 10:783-831.
17. Ding B., Shawky H.A. The performance of hedge fund strategies and the asymmetry of return distributions. Eur. Financ. Manage. 2007, 13:309-331.
18. Eling M. Does hedge fund performance persist? Overview and new empirical evidence. Eur. Financ. Manage. 2009, 15:362-401.
19. Fung W., Hsieh D.A. Empirical characteristics of dynamic trading strategies: the case of hedge funds. Rev. Financ. Stud. 1997, 10:275-302.
20. Fung W., Hsieh D.A. Performance characteristics of hedge funds and CTA funds: natural versus spurious biases. J. Financ. Quant. Anal. 2000, 35:291-307.
21. Fung W., Hsieh D.A. The risk in hedge fund strategies: theory and evidence from trend followers. Rev. Financ. Stud. 2001, 14:313-341.
22. Fung W., Hsieh D.A. Hedge fund benchmarks: a risk based approach. Financ. Anal. J. 2004, 60:65-80.
23. Fung W., Hsieh D.A., Naik N., Ramadorai T. Hedge funds: performance, risk, and capital formation. J. Finance 2008, 63:1777-1803.
24. Gerstein K.S. Hedge fund distribution: Regulatory hot buttons 2006, Schulte Roth & Zabel, http://www.srz.com/news/videos/Merged%20Outlines%20%20PIF%202006%20Main%20Seminar.pdf.
25. Heckman J. The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models. Ann. Econ. Soc. Meas. 1976, 5:475-492.
26. Heckman J. Sample selection bias as a specification error. Econometrica 1979, 47:153-161.
27. Hu H.T.C., Black B. Hedge funds, insiders, and the decoupling of economic and voting ownership: empty voting and hidden (morphable) ownership. J. Corp. Finance 2007, 13:343-367.
28. Jagannathan R., Malakhov A., Novikov D. Do hot hands exist among hedge fund managers? An empirical evaluation. J. Finance 2010, 65:217-255.
29. Koh F., Koh W.T.H., Teo M. Asian hedge funds: return persistence, style and fund characteristics. Working paper 2003, Singapore Management University.
30. La Porta R., Lopez-de-Silanes F., Shleifer A., Vishny R. Law and finance. J. Polit. Econ. 1998, 106:1113-1155.
31. Liang B. Hedge funds: the living and the dead. J. Financ. Quant. Anal. 2000, 35:309-326.
32. Liang B. The accuracy of hedge fund returns. J. Portfolio Manage. 2003, 29:111-122.
33. Naik N.Y., Ramadoria T., Stromqvist M. Capacity constraints and hedge fund strategy returns. Eur. Financ. Manage. 2007, 13:239-256.
34. Petersen M.A. Estimating standard errors in finance panel data sets: comparing approaches. Rev. Financ. Stud. 2009, 22:435-480.
35. PriceWaterhouseCoopers The regulation, taxation and distribution of hedge funds. PriceWaterhouseCoopers, London 2006, 2007.
36. Teo M. The geography of hedge funds. Rev. Financ. Stud. 2009, 22:3531-3561.
37. Verret J.W. Dr. Jones and the raiders of lost capital: hedge fund regulation, part II. Del. J. Corp. Law 2007, 32:799-841.
38. Wilson R. Hedge Fund Blog Book Available at. http://hedgefundgroup.org/Hedge-Fund-Book.pdf.