Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

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...

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Bibliographic Details
Main Authors: KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2688
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3687/viewcontent/TeoMelvynHedgefundAlpha.pdf
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Institution: Singapore Management University
Language: English