Erschienen in:Presented at the Special Issue of Managerial and Decision Economics conference “Effects of Alternative Investments on Entrepreneurship, Innovation, and Growth” conference, October 29, 2012, SUNY Global Center, NYC
Umfang:
1 Online-Ressource (24 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2095296
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2012 erstellt
Beschreibung:
The main focus of this paper is to explore the potential econometric im-provements that can be achieved in estimating hedge fund returns. Specifically, we examine the effects of incorporating the following three adjustments to estimating managerial efficiency; (1) a selection bias adjustment model, (2) a nonlinear specification; and (3) a fixed effect model. Diagnostic tests confirm the importance of these adjustments in modeling hedge fund return. We propose a model that incorporates all three issues while retaining simplicity and computational efficiency. Using hedge fund data over the period 1996-2008, our basic results show that when selectivity, nonlinearity, and fund heterogeneity are taken into account, a more robust estimate of the effect of key variables has on hedge fund return can be obtained and the overall explanatory power of the model can be improved