Impact of Advance Notice Periods on the Performance Persistence of Hedge Funds

Gantenbein, Pascal and Glatz, Stephan. (2014) Impact of Advance Notice Periods on the Performance Persistence of Hedge Funds. China-USA Business Review, Vol. 13 (No. 12). pp. 729-744.

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This paper examines the impact of the advance notice period on hedge fund performance persistence in investors’ portfolios. As investors in hedge funds face several trading restrictions related to the funds’ common investment terms and conditions, it is hypothesized that the advance notice period generates illiquidity for investors and impairs their ability to benefit from performance persistence in hedge funds. Using a sample of 4,788 hedge funds over a period from 1994 to 2008 and contingency table based standard methodology for returns and Sharpe ratios, the results suggest that accounting for individual funds’ advance notice periods has a negative impact on the performance persistence of hedge funds. The proportion of significantly persistent funds declines when incorporating the advance notice period, especially for short time horizons. Furthermore, a considerable part of hedge fund performance persistence is related to asset class-specific terms and conditions, reducing the amount of short-term performance persistence in practice.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmanagement (Gantenbein)
UniBasel Contributors:Gantenbein, Pascal
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:David Publishing
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:30 Jun 2016 11:01
Deposited On:17 Jun 2016 07:59

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