I study the performance of hedge fund managers, using quarterly stock holdings from 1995 to 2010. I use the holdings-based measure built on Ferson and Mo (2012) to decompose a manager's overall performance into stock selection and three components of timing ability: market return, volatility, and liquidity. At the aggregate level, I find that hedge fund managers have stock picking skills but no timing skills, and overall I do not find strong evidence to support their superiority.
Download count: 0
- Partial requirement for: Ph. D., Arizona State University, 2013Note typethesis
- Includes bibliographical references (p.44-47)Note typebibliography
- Field of study: Business administration