Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation

By Ravi Jagannathan, A. Malakhov, D. Novikov. 2006

393 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/659509a6acfb80bf73d58a191251ff6d2ed15895

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, neutral): “Jegadeesh and Titman (1993, 2001) find momentum in stock returns for 3-month, 6-month, 9-month, and 12-month horizons although Jegadeesh (1990) and Lehmann (1990) provide strong evidence for the short-term reversal effect in individual stock returns for oneweek to one-month horizon.”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “Bali, Brown, and Caglayan (2012) introduce a comprehensive measure of systematic risk for individual hedge funds by breaking up total risk into systematic and residual risk components.”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, neutral): “A partial list includes Fung and Hsieh (1997, 2004a,b), Ackermann, McEnally and Ravenscraft (1999), Liang (1999), Agarwal and Naik (2004), Kosowski, Naik and Teo (2006), Agarwal et al. (2009), Chen and Liang (2007), Fung et al. (2008), Patton (2009), and Jagannathan, Malakhov, and Novikov (2010).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, neutral): “Jegadeesh and Titman (1993, 2001) find momentum in stock returns for 3-month, 6-month, 9-month, and 12-month horizons although Jegadeesh (1990) and Lehmann (1990) provide strong evidence for the short-term reversal effect in individual stock returns for one-week to one-month horizon.”
Efficiently Inefficient Markets for Assets and Asset Management (2017, background): “Search frictions in the asset management fund industry are documented by Sirri and Tufano (1998) and Jain and Wu (2000), and, consistent with our model, proxies for lower search costs are associated with more investors.”
How Persistent is Private Equity Performance? Evidence from Deal-Level Data (2017, methodology): “At the deal level we perform some robustness checks to exclude entirely the first few deals from all GPs (following the approach of Jagannathan et al., 2010, in their analysis of hedge fund performance persistence), and find only a minor impact on the results.”
How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, neutral): “Our results contrast with the recent finding by Jagannathan, Malakhov, and Novikov (2007) of strong performance persistence in total hedge fund returns.”
Skill and Luck in Private Equity Performance (2017, neutral): “Bayesian approaches to skill assessment in mutual and hedge funds have been applied, amongst others, by Baks, Metrick, and Wachter (2001), Pastor and Stambaugh (2002a, 2002b), Jones and Shanken (2005), Avramov and Wermers (2006), and Busse and Irvine (2006).”
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, neutral): “This section describes the hedge fund sample and provides details for the construction of the various performance measures.”