How Skilled are Hedge Funds? Evidence from their Daily Trades

How Skilled are Hedge Funds? Evidence from their Daily Trades

We examine the trading skill of hedge funds using transaction-level data. After accounting for trading commissions, we find no evidence that the trades of the average hedge fund outperform across holding periods ranging from one month to one year. However, bootstrap simulations indicate that the tra...

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Bibliographic Details
Main Author: JAME, Russell
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Hedge funds
transaction data
trading skill
short term trading
liquidity provision
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/bnp_research/18
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1017&context=bnp_research
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/bnp_research/18
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1017&context=bnp_research

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