dc.contributor.author | Yang, Fan | |
dc.contributor.author | Havránek, Tomáš | |
dc.contributor.author | Iršová, Zuzana | |
dc.contributor.author | Novák, Jiří | |
dc.date.accessioned | 2024-01-23T13:40:40Z | |
dc.date.available | 2024-01-23T13:40:40Z | |
dc.date.issued | 2023 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14178/2198 | |
dc.description.abstract | We examine whether estimates of hedge fund performance reported in prior empirical research are affected by publication bias. Using a sample of 1019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies published between 2001 and 2021, we show that the selective publication of empirical results does not significantly contaminate inferences about hedge fund returns. Most of our monthly alpha estimates adjusted for the (small) bias fall within a relatively narrow range of 30-40 basis points, indicating positive abnormal returns of hedge funds: Hedge funds generate money for investors. Studies that explicitly control for potential biases in the underlying data (e.g., backfilling and survivorship biases) report lower but still positive alphas. Our results demonstrate that despite the prevalence of publication selection bias in many other research settings, publication may not be selective when there is no strong a priori theoretical prediction about the sign of the estimated coefficients. | en |
dc.language.iso | en | |
dc.relation.url | https://doi.org/10.1111/joes.12574 | |
dc.rights | Creative Commons Uveďte původ 4.0 International | cs |
dc.rights | Creative Commons Attribution 4.0 International | en |
dc.title | Is research on hedge fund performance published selectively? A quantitative survey | en |
dcterms.accessRights | openAccess | |
dcterms.license | https://creativecommons.org/licenses/by/4.0/legalcode | |
dc.date.updated | 2024-01-23T13:40:40Z | |
dc.subject.keyword | hedge funds | en |
dc.subject.keyword | meta-analysis | en |
dc.subject.keyword | publication bias | en |
dc.relation.fundingReference | info:eu-repo/grantAgreement/MSM//LX22NPO5101 | |
dc.relation.fundingReference | info:eu-repo/grantAgreement/GA0/GX/GX19-26812X | |
dc.relation.fundingReference | info:eu-repo/grantAgreement/GA0/GA/GA21-09231S | |
dc.relation.fundingReference | info:eu-repo/grantAgreement/GA0/GM/GM23-05227M | |
dc.date.embargoStartDate | 2024-01-23 | |
dc.type.obd | 73 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | |
dc.identifier.doi | 10.1111/joes.12574 | |
dc.identifier.utWos | 001016325900001 | |
dc.identifier.eidScopus | 2-s2.0-85163032009 | |
dc.identifier.obd | 641207 | |
dc.subject.rivPrimary | 50000::50200::50201 | |
dcterms.isPartOf.name | Journal of Economic Surveys | |
dcterms.isPartOf.issn | 0950-0804 | |
dcterms.isPartOf.journalYear | 2023 | |
uk.faculty.primaryId | 118 | |
uk.faculty.primaryName | Fakulta sociálních věd | cs |
uk.faculty.primaryName | Faculty of Social Sciences | en |
uk.department.primaryId | 118 | |
uk.department.primaryName | Fakulta sociálních věd | cs |
uk.department.primaryName | Faculty of Social Sciences | en |
uk.department.secondaryId | 319 | |
uk.department.secondaryId | 325 | |
uk.department.secondaryId | 326 | |
uk.department.secondaryName | Institut ekonomických studií | cs |
uk.department.secondaryName | Institute of Economic Studies | en |
uk.department.secondaryName | Katedra makroekonomie a ekonometrie | cs |
uk.department.secondaryName | Department of Macroeconomics and Econometrics | en |
uk.department.secondaryName | Katedra financí a kapitálových trhů | cs |
uk.department.secondaryName | Department of Finance and Capital Markets | en |
dc.description.pageRange | nestránkováno | |
dc.type.obdHierarchyCs | ČLÁNEK V ČASOPISU::článek v časopisu::původní článek | cs |
dc.type.obdHierarchyEn | JOURNAL ARTICLE::journal article::original article | en |
dc.type.obdHierarchyCode | 73::152::206 | en |
uk.displayTitle | Is research on hedge fund performance published selectively? A quantitative survey | en |