Full metadata
Title
Do hedge fund managers possess timing and selectivity skill?: evidence from stock holdings
Description
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.
Date Created
2013
Contributors
- Kang, MinJeong (Author)
- Aragon, George O. (Thesis advisor)
- Hertzel, Michael G (Committee member)
- Boguth, Oliver (Committee member)
- Arizona State University (Publisher)
Topical Subject
Resource Type
Extent
v, 100 p. : ill. (some col.)
Language
Copyright Statement
In Copyright
Primary Member of
Peer-reviewed
No
Open Access
No
Handle
https://hdl.handle.net/2286/R.I.17855
Statement of Responsibility
by Minjeong Kang
Description Source
Viewed on May 12, 2013
Level of coding
full
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
System Created
- 2013-07-12 06:20:34
System Modified
- 2021-08-30 01:42:01
- 3 years ago
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