How Skilled are Hedge Funds? Evidence from their Daily Trades

• 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
• Institution: Singapore Management University

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...