Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

• المؤلفون الرئيسيون: KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Hedge Funds; Performance; Alpha; Factor models; Bayesian; Bootstrap; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/bnp_research/3; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1007&context=bnp_research

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superio...