An Analysis of Hedge Fund Performance

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Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, unknown): “Several authors have estimated factor models for hedge funds using more easily interpretable factors such as fund characteristics and indexes (Schneeweis and Spurgin, 1998; Liang, 1999; Edwards and Caglayan, 2001; Capocci and Hubner, 2004; Hill, Mueller, and Balasubramanian, 2004), and the returns t”
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “Capocci and Hübner (2004) followed the methodology of Carhart (1997), discovering no evidence of performance per-9 sistence for best and worst performing funds, but providing limited evidence of persistence for middle decile funds.”
Hedge fund performance and persistence in bull and bear markets (2005, unknown): “This gives an estimate of 1.32% per year, very much in line with the values of 1.4% found by Fung and Hsieh (2000) and 1.2% found by Capocci and Hübner (2004).”
Do socially (ir)responsible investments pay? New evidence from international ESG data (2016, background): “This is because of a lack of consensus on the appropriate kind and number of model factors (see Capocci & Hübner, 2004) and certain data snooping biases (see Lo & MacKinlay, 1990).”