کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963536 930363 2010 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Performance persistence in hedge funds: Australian evidence
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Performance persistence in hedge funds: Australian evidence
چکیده انگلیسی
Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 4, October 2010, Pages 346-362
نویسندگان
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