标题：New ‘Stylized facts’ about Hedge Funds and Database Selection Bias

演讲人：Robert Kosowski（Imperial College Business School, Imperial College, London）

功夫：May 31,2013( Friday) AM10:00---11:30

地址:Room 217, Guanghua Building #2

Abstract：

This paper shows that several previously documented stylized facts about hedge fund performance are sensitive to database selection and associated biases. Based on a novel database aggregation, we show that qualitative and quantitative differences in conclusions about average performance stem from database differences in the coverage of dead funds, backfill bias as well as the completeness of assets under management information. Once database selection biases are carefully accounted for, we find, in contrast to earlier studies, that fund share restrictions (or proxies for illiquidity), are not associated with higher fund performance while hedge funds with greater managerial incentives typically outperform. Investors that consider chasing returns, should heed our finding that there is no performance persistence for value-weighted portfolios as well as certain rebalancing frequencies and databases when equal-weighting funds. Drawing on our results and a detailed appendix that describes our database aggregation, we make three recommendations to hedge fund database users and researchers about hedge fund database selection, construction and comparison.

JEL Classifications: G11, G12, G23

Keywords: hedge fund performance, persistence, sample selection bias, managerial