Is research on hedge fund performance published selectively? A quantitative survey

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F24%3A10473546" target="_blank" >RIV/00216208:11230/24:10473546 - isvavai.cz</a>
Alternative codes found
RIV/19194951:_____/24:N0000009
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=wIM5dye2r7" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=wIM5dye2r7</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/joes.12574" target="_blank" >10.1111/joes.12574</a>

Result language
angličtina
Original language name
Is research on hedge fund performance published selectively? A quantitative survey
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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