| Summary: | 碩士 === 國立成功大學 === 財務金融研究所 === 98 === Performance persistence is one of investors’ major concerns. This thesis adopts Hsu, Hsu and Kuan’s (2010) stepwise test for superior predictive ability (SSPA test) and Kosowski, Teimmermann, Wermers, and White’s (2006) cross-sectional alpha bootstrap as its major approaches. Minimizing the impacts of data-snooping bias, it aims to examine the persistence in abnormal hedge fund returns.
This study shows that, using standardized alpha in factor models as test statistics, outperforming fund portfolios identified by the SSPA test and cross-sectional alpha bootstrap tend to show performance persistence for one-year, two-year and three-year holding periods. Even if we unsmooth the original return data, the conclusion remains consistent.
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