Why Do Hedge Funds Stop Reporting Their Performance?Alex Grecu,
Burton Malkiel and
Atanu Saha
No 78, Working Papers from Princeton University, Department of Economics, Center for Economic Policy Studies. Abstract: It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data gathering services. Academic studies have suggested that poor or failing funds stop reporting while industry analysts suggest that better performing funds cease reporting because they no longer need to attract new capital. Using the TASS data set, we find that hedge funds' returns are significantly worse at the end of their reporting live. We then use survival time analysis techniques to examine the funds? time to failure and changes in the hazard rate (i.e., the probability of failure) over time. We also estimate the effects of funds' performance, size, and other characteristics on the hazard rate. Consistent with the finding on funds' returns at the end of their reporting lives, we find that better performing and larger hedge funds have lower hazard rates. Keywords: hedge funds; Lipper Hedge Fund Database; TASS (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pri:cepsud:124 Access Statistics for this paper More papers in Working Papers from Princeton University, Department of Economics, Center for Economic Policy Studies. Contact information at EDIRC. |
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