Recovering Delisting Returns of Hedge Funds

Jackwerth, Jens Carsten and Hodder, James E. and Kolokolova, Olga (2014) Recovering Delisting Returns of Hedge Funds. Journal of Financial and Quantitative Analysis, 49 (3). pp. 797-815. ISSN 0022-1090

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Abstract

Numerous hedge funds stop reporting each year to commercial databases, wreaking havoc with analyzing investment strategies that incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns “tips them over the edge” and leads to delisting.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Financial and Quantitative Analysis
Uncontrolled Keywords:
Research Output Funding/no_not_funded
Subjects:
?? no - not fundedfinanceeconomics and econometricsaccounting ??
ID Code:
203624
Deposited By:
Deposited On:
14 Sep 2023 09:40
Refereed?:
Yes
Published?:
Published
Last Modified:
16 Jul 2024 00:10