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Picking Hedge Funds with Information Updating

https://doi.org/10.2139/ssrn.5423519
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Exploratory factor analysis: Current use, methodological developments and recommendations for good practice
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Regulatory induced performance persistence: Evidence from hedge funds
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Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.001openalex-snapshot
An econometric model of serial correlation and illiquidity in hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2005.11.001openalex-snapshot
Share restrictions and asset pricing: Evidence from the hedge fund industry☆
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Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.10.003openalex-snapshot
Hedge funds, managerial skill, and macroeconomic variables☆
inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.008openalex-snapshot
Do hedge funds' exposures to risk factors predict their future returns?
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.005openalex-snapshot
Systematic risk and the cross section of hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2012.06.001openalex-snapshot
Technical trading revisited: False discoveries, persistence tests, and transaction costs
inferredcites →https://doi.org/10.1016/j.jfineco.2013.03.009openalex-snapshot
Can hedge funds time market liquidity?
inferredcites →https://doi.org/10.1016/j.jfineco.2014.06.008openalex-snapshot
Macroeconomic risk and hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2017.06.006openalex-snapshot
Tail risk in hedge funds: A unique view from portfolio holdings
inferredcites →https://doi.org/10.1016/j.jfineco.2018.01.006openalex-snapshot
Alpha or beta in the eye of the beholder: What drives hedge fund flows?
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103805openalex-snapshot
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
inferredcites →https://doi.org/10.1017/s0022109013000422openalex-snapshot
Hedge Fund Return Predictability Under the Magnifying Glass
inferredcites →https://doi.org/10.1017/s0022109014000465openalex-snapshot
Recovering Delisting Returns of Hedge Funds
inferredcites →https://doi.org/10.1017/s0022109016000120openalex-snapshot
Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework
inferredcites →https://doi.org/10.1017/s0022109017000217openalex-snapshot
Hedge Funds: The Good, the Bad, and the Lucky
inferredcites →https://doi.org/10.1017/s0022109018000200openalex-snapshot
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions
inferredcites →https://doi.org/10.1017/s0022109020000794openalex-snapshot
Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
inferredcites →https://doi.org/10.1017/s0022109024000097openalex-snapshot
Mutual Funds’ Conditional Performance Free of Data Snooping Bias
inferredcites →https://doi.org/10.1023/a:1010933404324openalex-snapshot
Random Forests
inferredcites →https://doi.org/10.1038/nature14539openalex-snapshot
Deep learning
inferredcites →https://doi.org/10.1080/01621459.1994.10476870openalex-snapshot
The Stationary Bootstrap
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/biomet/asaa098openalex-snapshot
Covariate adaptive familywise error rate control for genome-wide association studies
inferredcites →https://doi.org/10.1093/rfs/10.2.275openalex-snapshot
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/hhaa111openalex-snapshot
Thousands of Alpha Tests
inferredcites →https://doi.org/10.1093/rfs/hhae006openalex-snapshot
Unsmoothing Returns of Illiquid Funds
inferredcites →https://doi.org/10.1093/rfs/hhq105openalex-snapshot
Do the Best Hedge Funds Hedge?
inferredcites →https://doi.org/10.1093/rfs/hht070openalex-snapshot
When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
inferredcites →https://doi.org/10.1093/rof/rfae022openalex-snapshot
Hedge funds and the positive idiosyncratic volatility effect
inferredcites →https://doi.org/10.1111/0022-1082.00129openalex-snapshot
The Performance of Hedge Funds: Risk, Return, and Incentives
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00615.xopenalex-snapshot
Stepwise Multiple Testing as Formalized Data Snooping
inferredcites →https://doi.org/10.1111/j.1468-036x.2006.00357.xopenalex-snapshot
Risk Measures for Hedge Funds: a Cross‐sectional Approach
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01374.xopenalex-snapshot
Hedge Funds: Performance, Risk, and Capital Formation
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01527.xopenalex-snapshot
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-snapshot
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/jofi.12951openalex-snapshot
False (and Missed) Discoveries in Financial Economics
inferredcites →https://doi.org/10.1111/rssb.12411openalex-snapshot
Covariate Powered Cross-Weighted Multiple Testing
inferredcites →https://doi.org/10.1177/001316446002000116openalex-snapshot
The Application of Electronic Computers to Factor Analysis
inferredcites →https://doi.org/10.1186/s13059-020-02001-7openalex-snapshot
Leveraging biological and statistical covariates improves the detection power in epigenome-wide association testing
inferredcites →https://doi.org/10.1198/073500105000000063openalex-snapshot
A Test for Superior Predictive Ability
inferredcites →https://doi.org/10.1287/mnsc.2020.3696openalex-snapshot
A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection
inferredcites →https://doi.org/10.1561/104.00000104openalex-snapshot
Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2676207openalex-snapshot
Multi-Period Performance Persistence Analysis of Hedge Funds
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-snapshot
Hedge Fund Benchmarks: A Risk-Based Approach
inferredcites →https://doi.org/10.2469/faj.v64.n6.6openalex-snapshot
Hedge Fund Performance Persistence: A New Approach
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