The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

Data snooping is a major concern in empirical asset pricing. We develop a new framework
to rigorously perform multiple hypothesis testing in linear asset pricing models, while limiting …

We investigate whether skilled hedge fund managers are more likely to pursue unique
investment strategies that result in superior performance. We propose a measure of the …

We examine the potential for selection bias in voluntarily reported hedge fund performance
data. We construct a set of hedge fund returns that have never been reported to a …

Employing partially hand-collected data, sample hedge funds are formed into four
categories depending on their level of automation. We find that hedge funds with the highest …

This study identifies a previously unreported bias in the TASS database. Owing to a merger
with the Tremont database, 60 percent of the funds added to the TASS database between …

We provide novel evidence that hedge fund performance is persistent following weak hedge
fund markets but is not persistent following strong markets. Specifically, we construct two …

This paper models hedge fund exposure to risk factors and examines time-varying
performance of hedge funds. From existing models such as asset-based style (ABS)-factor …

The discussion of customs systems on performance of revenue authority companies
Worldwide has gathered much momentum in over recent decades. Although a considerable …

The empirical literature on investment performance suggests that only hedge funds among
institutional investors have delivered consistent superior performance. We examine whether …