Research and publications
New 'Stylised facts' about Hedge Funds and Database Selection Bias
This paper presents new stylized facts about hedge fund performance and database selection biases based on a novel database aggregation. By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of researchers in this literature to compare results across different studies. We carefully motivate and test a set of eight hypotheses regarding the impact of database selection biases on stylised facts.
Author(s):
Juha Joenväärä, Robert Kosowski, Pekka Tolonen
Summary:
This paper presents new stylized facts about hedge fund performance and database selection biases based on a novel database aggregation. By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of researchers in this literature to compare results across different studies. We carefully motivate and test a set of eight hypotheses regarding the impact of database selection biases on stylised facts.
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Register/Log in| Type : | Working paper |
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| Date : | 11/05/2012 |
| Keywords : |
Alternative Investments |
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