Since 2014
Equity Markets and the Performance of Hedge Funds: How stable is Persistence?
GSTF Journal on Business Review
View Archive Info| Field | Value | |
| Title |
Equity Markets and the Performance of Hedge Funds: How stable is Persistence?
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| Creator |
., Prof. Dr. Pascal Gantenbein
., Dr. Stephan Glatz ., Prof. Dr. Heinz Zimmermann |
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| Subject |
equity markets; hedge funds; performance measurement; performance persistence
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| Description |
We investigate the performance of hedge funds inbull and bear equity markets. Covering the period from January1994 to December 2008, we find that each bull and bear marketperiod has its dominant independent variables. Furthermore, thelevel of performance persistence is not significantly related toequity market conditions. The analyses show that hedge fundperformance persistence is stronger in more recent sub-periodsthan in earlier sub-periods. In bullish as well as in bearish equitymarkets, performance persistence is driven by both constantwinners and losers. Moreover, both live and dead funds exhibitstatistically significant levels of performance persistence.
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| Publisher |
GSTF Journal on Business Review (GBR)
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| Contributor |
—
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| Date |
2014-08-20
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://dl6.globalstf.org/index.php/gbr/article/view/203
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| Source |
GSTF Journal on Business Review (GBR); Vol 2, No 4 (2013): Journal on Business Review (GBR)
ISSN: 2251-2888 2010-4804 |
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| Language |
eng
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| Relation |
http://dl6.globalstf.org/index.php/gbr/article/view/203/220
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| Rights |
Copyright (c) 2017 GSTF Journal on Business Review (GBR)
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