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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

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.

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    Date Created
    • 2013
    Resource Type
  • Text
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    Note
    • Partial requirement for: Ph. D., Arizona State University, 2013
      Note type
      thesis
    • Includes bibliographical references (p.44-47)
      Note type
      bibliography
    • Field of study: Business administration

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    by Minjeong Kang

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