Do Hedge Fund Managers Possess Timing and Selectivity Skill? Evidence from Stock Holdings

Do Hedge Fund Managers Possess Timing and Selectivity Skill? Evidence from Stock Holdings

abstract: 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, vol...

Full description

Bibliographic Details
Other Authors: Kang, Minjeong (Author)
Format: Doctoral Thesis
Language:English
Published: 2013
Subjects:
Finance
Hedge fund
Holdings-based measure
Liquidity timing
Performance
Online Access:http://hdl.handle.net/2286/R.I.17855

Internet

http://hdl.handle.net/2286/R.I.17855

Similar Items