Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance

By Stephen M. Horan. 2006

116 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3ae3d6db86735aeb9d64940876fb509e37d3a9c0

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In Finance

1. Jasmina Hasanhodzic
2. Andrew W. Lo
3. John Douglas Opdyke
4. Sylvain Chassang
5. S. Hall
6. T. Foxon
7. Ronan Bolton
8. Monica Billio

Citations in the corpus

• Do Market Timing Hedge Funds Time the Market (2007, unknown): “AMTF is the equal-weighted portfolio of the market timing funds with fund returns adjusted by the Baquero et al. (2005) technique.”
• Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “Baquero et al. (2005) concentrate on accounting for the look-ahead bias in evaluating hedge fund performance, and comparing raw and style-adjusted performance of performance ranked portfolios, they find evidence of positive persistence at the quarterly level.”
• Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, background): “8 For studies attempting to quantify the degree and impact of survivorship bias, see Baquero et al. (2005), Brown et al.”