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Do hedge fund managers possess timing and selectivity skill?: evidence from stock holdings

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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 manager's overall performance into stock selection and three components of timing ability: market return, volatility, and liquidity. At the aggregate…

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. I show that the lack of abilities is driven by the large fluctuations of timing performance with market conditions. I find that conditioning information, equity capital constraints, and priority in stocks to liquidate can partly explain the weak evidence. At the individual fund level, bootstrap analysis results suggest that even top managers' abilities cannot be separated from luck. Also, I find that hedge fund managers exhibit short-horizon persistence in selectivity skill.
ContributorsKang, MinJeong (Author) / Aragon, George O. (Thesis advisor) / Hertzel, Michael G (Committee member) / Boguth, Oliver (Committee member) / Arizona State University (Publisher)
Created2013

Beginners Guide to the World of Python

Description
My project has been a long journey, one that I have learned a tremendous amount on. The final version of my project has come out to be a booklet teaching first time users of code and python the basic steps of getting started and some vital information that I learned…

My project has been a long journey, one that I have learned a tremendous amount on. The final version of my project has come out to be a booklet teaching first time users of code and python the basic steps of getting started and some vital information that I learned while I was learning the language. I started my thesis with the idea of creating a portfolio of stock, bonds and commodities to determine the best allocation of your money over a 30-year period. To do this, I needed to learn how to code and become proficient quickly so I could create a program that would be powerful enough as well as spit out the correct output in the end. Unfortunately, I fell short of being able to build this portfolio out. I took on the challenge of learning Python on my own with no knowledge of any coding language to see if I could pull the whole project together. I failed, but I learned so much along the way and that I think is more valuable than anything. Since I was unable to complete my code, I shifted my attention to creating a small booklet on the basics of getting started in Python as if you have never looked at a coding language. Many of the tips I discuss in my booklet are problems I struggled with when I began. In the beginning I couldn’t even figure out how to get to a coding platform to begin my work, so I began to research and found many helpful tips that took me quite a while to understand.
ContributorsToumbs, Jason David (Author) / Boguth, Oliver (Thesis director) / Schreindorfer, David (Committee member) / Department of Finance (Contributor, Contributor) / Barrett, The Honors College (Contributor)
Created2019-05