ter Horst, Jenke; Baquero, G.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002
Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...