Using Model-Dependent and Model-Free Measures to Test Hedge Funds'' Performance While Controlling for the Data-Snooping Effect
碩士 === 國立中興大學 === 統計學研究所 === 99 === The purpose of this study is to test the performances of the monthly returns of the Hedge Fund Research. The dataset spans a period from July 1995 to June 2010, and the number of hedge fund is 6624. We use the stepwise superior predict ability test of Hsu et al. f...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99625938724220647121 |
| Summary: | 碩士 === 國立中興大學 === 統計學研究所 === 99 === The purpose of this study is to test the performances of the monthly returns of the Hedge Fund Research. The dataset spans a period from July 1995 to June 2010, and the number of hedge fund is 6624. We use the stepwise superior predict ability test of Hsu et al. for factor models and Manipulation-proof performance measures to pick out hedge fund which have outperformance. Using equal weight to construct portfolio in order to test whether persistence in performance. The measure who considers the risk is better than others measures. Subprime mortgage affect model-free measure.
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