Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/12091
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dc.contributor.authorDela O González, M-
dc.contributor.authorPapageorgiou, NA-
dc.contributor.authorSkinner, FS-
dc.date.accessioned2016-02-11T14:09:25Z-
dc.date.available2015-01-01-
dc.date.available2016-02-11T14:09:25Z-
dc.date.issued2015-
dc.identifier.citationEuropean Financial Management, 2015en_US
dc.identifier.issn1354-7798-
dc.identifier.issn1468-036X-
dc.identifier.urihttp://onlinelibrary.wiley.com/doi/10.1111/eufm.12070/abstract;jsessionid=F3F9B8E637A9CE073B1AB95D2941219F.f03t02-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/12091-
dc.description.abstractWe examine whether performance persistence is suspicious. Top quintile portfolios formed on the Sharpe ratio, alpha, and information ratio persistently outperform similarly constructed mediocre third quintile portfolios throughout our sample period, but performance is more modest and less persistent when portfolios are formed on the excess manipulation-proof performance measure (EMPPM). By selecting funds formed on ranking by Sharpe and information ratios, investors also select funds that have persistently doubtful performance according to the doubt ratio. In contrast, portfolios formed on alphas and especially the EMPPM have much less excess and persistent doubt.en_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.subjectHedge fundsen_US
dc.subjectPerformance measuresen_US
dc.subjectManipulation-proof performance measureen_US
dc.subjectDoubt ratioen_US
dc.titlePersistent Doubt: An examination of hedge fund performanceen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1111/eufm.12070-
dc.relation.isPartOfEuropean Financial Management-
pubs.publication-statusAccepted-
pubs.publication-statusAccepted-
Appears in Collections:Dept of Economics and Finance Research Papers

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