Hedge Funds: The Living and the Dead
By Bing Liang. Journal of Financial and Quantitative Analysis, 2000
626 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/d2e4300125477cf9a71182c737271a78c8b43b80
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Vikas Agarwal
- Narayan Naik
- William Fung
- David A. Hsieh
- Bing Liang
- Yong Chen
- Turan G. Bali
- Martin Eling
In Finance
- Melvyn Teo
- Vikas Agarwal
- Narayan Naik
- Bing Liang
- William Fung
- David A. Hsieh
- Martin Eling
- Stephen J. Brown
Citations in the corpus
- How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, neutral): “Third, Liang (2000, 2003) finds that reported returns may vary for the same hedge fund in different datasets, and Bollen and Krepely (2006) and Agarwal, Daniel, and Naik (2007) find evidence that some hedge funds systematically manipulate returns.”
- Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies (2000, background): “Mitchell and Pulvino (2000) find that replacing theoretical option prices by actual prices reduces the outperformance by 4 basis points.”
- Capacity Constraints and Hedge Fund Strategy Returns (2007, background): “Hedge funds’ significant absolute returns have also been found robust to corrections for data problems (see Liang, 2000; Getmansky et al., 2004).”
- The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, neutral): “For example, Ackermann, McEnally and Ravenscraft (1999), Agarwal and Naik (2000b, 2000c), Edwards and Caglayan (2001), Fung and Hsieh (1999, 2000, 2001), Kao (2002), and Liang (1999, 2000, 2001) provide empirical studies of hedge fund performance using different hedge fund databases.”
- Hedge Funds as Investors of Last Resort (2009, methodology): “Liang (2000) argues that the TASS database is generally superior to the HFR (Hedge Fund Research) database.”
- Hedge fund performance and persistence in bull and bear markets (2005, neutral): “Two definitions of this bias are commonly used in mutual and hedge fund studies: the performance difference between surviving and dissolved funds (Ackermann et al., 1999) and the performance difference between living and all funds (Liang, 2000).”
- Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry (2011, positive): “The TASS database has been employed in the hedge fund literature such as in Fung and Hsieh (1997), Liang (2000), Brown et al. (2001), Getmansky, Lo, and Makarov (2004), and Agarwal, Daniel, and Naik (2009).”
- Asset-Based Style Factors for Hedge Funds (2002, background): “…asset classes and have been found to have low to insignificant betas (see, for example, Fung and Hsieh 1997a, Schneeweis and Spurgin 1998, and Liang 2000).6 To extend Sharpe’s model requires style factors that explain hedge fund performance and have return characteristics that can be…”
- Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, background): “Brown, Goetzmann and Ibbotson (1999), Agarwal and Naik (2000), and Liang (2000) conclude that hedge funds persist at quarterly horizons but not at longer horizons.”
- Hedge Funds: Risk and Return (2005, background): “Estimates of survivorship bias by Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (2001), Liang (2000, 2001), and Fung and Hsieh (1997) range from 60 bps to 360 bps a year for various hedge fund types.”