Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases

被引：61

作者：

Aiken, Adam L. ^{[2
]}

Clifford, Christopher P. ^{[1
]}

Ellis, Jesse ^{[3
]}

机构：

[1] Univ Kentucky, Gatton Sch Business, Lexington, KY 40506 USA

[2] Quinnipiac Univ, Hamden, CT USA

[3] Univ Alabama, Tuscaloosa, AL 35487 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 01期

关键词：

G11; G23; PERFORMANCE; MANAGERS; RISK; RETURNS; INCENTIVES; INDUSTRY;

D O I：

10.1093/rfs/hhs100

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the potential for selection bias in voluntarily reported hedge fund performance data. We construct a set of hedge fund returns that have never been reported to a commercial hedge fund database. These returns allow a direct comparison of performance between funds that choose to report to commercial databases and funds that do not. We find that funds that report their performance to commercial databases significantly outperform nonreporting funds. Our results suggest that the voluntarily reported performance in commercial databases suffers from a selection bias that may exaggerate the average skill of the universe of hedge fund managers.

引用

页码：208 / 243

页数：36

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