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Recovering Delisting Returns of Hedge Funds

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Recovering Delisting Returns of Hedge Funds. / Jackwerth, Jens Carsten ; Hodder , James E. ; Kolokolova, Olga.
In: Journal of Financial and Quantitative Analysis, Vol. 49, No. 3, 30.06.2014, p. 797-815.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Jackwerth, JC, Hodder , JE & Kolokolova, O 2014, 'Recovering Delisting Returns of Hedge Funds', Journal of Financial and Quantitative Analysis, vol. 49, no. 3, pp. 797-815. https://doi.org/10.1017/S0022109014000465

APA

Jackwerth, J. C., Hodder , J. E., & Kolokolova, O. (2014). Recovering Delisting Returns of Hedge Funds. Journal of Financial and Quantitative Analysis, 49(3), 797-815. https://doi.org/10.1017/S0022109014000465

Vancouver

Jackwerth JC, Hodder JE, Kolokolova O. Recovering Delisting Returns of Hedge Funds. Journal of Financial and Quantitative Analysis. 2014 Jun 30;49(3):797-815. doi: 10.1017/S0022109014000465

Author

Jackwerth, Jens Carsten ; Hodder , James E. ; Kolokolova, Olga. / Recovering Delisting Returns of Hedge Funds. In: Journal of Financial and Quantitative Analysis. 2014 ; Vol. 49, No. 3. pp. 797-815.

Bibtex

@article{6baa97b638df4d68bd3c9103a04b6f7b,
title = "Recovering Delisting Returns of Hedge Funds",
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.",
author = "Jackwerth, {Jens Carsten} and Hodder, {James E.} and Olga Kolokolova",
year = "2014",
month = jun,
day = "30",
doi = "10.1017/S0022109014000465",
language = "English",
volume = "49",
pages = "797--815",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Recovering Delisting Returns of Hedge Funds

AU - Jackwerth, Jens Carsten

AU - Hodder , James E.

AU - Kolokolova, Olga

PY - 2014/6/30

Y1 - 2014/6/30

N2 - 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.

AB - 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.

U2 - 10.1017/S0022109014000465

DO - 10.1017/S0022109014000465

M3 - Journal article

VL - 49

SP - 797

EP - 815

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -