Hedge-Fund Benchmarks: Information Content and Biases
By William Fung, David A. Hsieh. 2002
201 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9ac305cb471cc92adb30c8d17cdd1fde3992a894
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Vikas Agarwal
- Narayan Naik
- Bing Liang
- William Fung
- David A. Hsieh
- Melvyn Teo
- Stephen J. Brown
- Lu Zheng
In Finance
- Narayan Naik
- Vikas Agarwal
- William Fung
- David A. Hsieh
- Bing Liang
- Melvyn Teo
- Stephen J. Brown
- Lu Zheng
Citations in the corpus
- Risks and Portfolio Decisions Involving Hedge Funds (2004, background): “It is well known that hedge fund indexes differ from each other in the way they are constructed.7 Further, they may be subject to different levels of survivorship and backfilling biases ( Fung and Hsieh [2002b] .”
- Asset-Based Style Factors for Hedge Funds (2002, methodology): “In addition, without a model to relate the criteria used to form groups of hedge funds to the reported return characteristics, a number of biases in measuring returns can occur (see, for example, Fung and Hsieh 2000, 2002 and Liang).”
- The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, background): “…Agarwal and Naik (2000 and 2004); Brown and Goetzmann (2003); Brown, Goetzmann, and Ibbotson (1999); Brown, Goetzmann, Liang, and Schwarz (2008); Fung and Hsieh (1997, 2000, 2001, 2002); Goetzmann, Ingersoll, and Ross (2003); Griffin and Xu (2009); Ibbotson and Chen (2006); Jagannathan,…”
- Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration (2008, background): “Previous literature documents a significant failure rate and survivorship bias in hedge fund returns (see Fung and Hsieh (2000, 2002) and Liang (2000)).”
- Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “3 Ackerman, McEnally, and Ravenscraft (1999), Liang (2000), Fung and Hsieh (2000) and Fung and Hsieh (2002) discuss the issues that arise when using data from these sources.”
- Mutual Fund Incubation (2010, background): “This “instant history” or backfill bias in hedge fund databases is similarly recognized by Park (1995) and Fung and Hsieh (2002).”