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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |