Performance persistence in hedge funds : Australian evidence

Viet Do, Robert Faff, Madhu Veeraraghavan

    Research output: Contribution to journalArticlepeer-review

    Abstract

    Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.
    Original languageEnglish
    Pages (from-to)346-362
    Number of pages17
    JournalJournal of International Financial Markets, Institutions and Money
    Volume20
    Issue number4
    DOIs
    Publication statusPublished - 2010

    Keywords

    • Australia
    • evidence
    • hedge funds
    • persistence

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