Jackwerth, Jens Carsten; Kolokolova, Olga; Hodder, James E. - Volkswirtschaftliche Fakultät, … - 2008
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is …: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically … very different from continuing funds’ returns. In this paper, we use estimated portfolio holdings for funds-of-funds with …