TY  - JOUR
AU  - Jagannathan,Ravi
AU  - Malakhov,Alexey
AU  - Novikov,Dmitry
TI  - Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12015
PY  - 2006
Y2  - February 2006
UR  - http://www.nber.org/papers/w12015
L1  - http://www.nber.org/papers/w12015.pdf
N1  - Author contact info:
Ravi Jagannathan
Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719
E-Mail: rjaganna@northwestern.edu

Alexey Malakhov
College of Business
University of Arkansas
Tel: 479-575-6118
E-Mail: malakhov@walton.uark.edu

Dmitry Novikov
Goldman, Sachs & Co.
E-Mail: dmitry.novikov@gs.com
AB  - We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund’s performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. While we find significant performance persistence among superior funds we find little evidence of persistence among inferior funds.
ER  -