Measuring the market impact of hedge funds

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Risks and Portfolio Decisions Involving Hedge Funds (2004, methodology): “Researchers have addressed this problem by using a stepwise regression procedure either explicitly [Liang (1999), Fung and Hsieh (2000a) ] or implicitly [Fung and Hsieh (2001, Table 5)] while identifying significant risk factors.”
Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, methodology): “4For example, Fung and Hsieh (1997) find an upper bound of 8.”
Hedge funds: an industry in its adolescence (2006, methodology): “An alternative is to use the average return of funds of funds (FoFs), as suggested in Fung and Hsieh (2000b).”
Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies (2000, methodology): “Fung and Hsieh (2000a) find that Sharpe’s model performs equally poorly for “trend-following” CTA strategies with the adjusted R-squares ranging from –3.2% to 7.5% (see their Table 2).”
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001, background): “1 See Fung and Hsieh (2000) and Fung et al. (1999) for analyses on the market impact of hedge fund activities.”
Hedge-Fund Benchmarks: Information Content and Biases (2002, methodology): “Fung and Hsieh (2000b) estimated the portfolio management costs of FOFs to be approximately 2 percent a year.”