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Equity markets and the performance of hedge funds: how stable is persistence?

Gantenbein, Pascal and Glatz, Stephan and Zimmermann, Heinz. (2013) Equity markets and the performance of hedge funds: how stable is persistence? GSTF journal on business review, Vol. 2, H. 4. pp. 231-237.

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Official URL: http://edoc.unibas.ch/dok/A6205542

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Abstract

We investigate the performance of hedge funds in bull and bear equity markets. Covering the period from January 1994 to December 2008, we find that each bull and bear market period has its dominant independent variables. Furthermore, the level of performance persistence is not significantly related to equity market conditions. The analyses show that hedge fund performance persistence is stronger in more recent sub-periods than in earlier sub-periods. In bullish as well as in bearish equity markets, performance persistence is driven by both constant winners and losers. Moreover, both live and dead funds exhibit statistically significant levels of performance persistence.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmanagement (Gantenbein)
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Zimmermann, Heinz and Gantenbein, Pascal
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:Global Science and Technology Forum
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:31 Dec 2015 10:54
Deposited On:31 Jan 2014 09:50

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