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Are Fund Alphas Robust Proxies for Funds Managers' Managerial Skill?

Obrimah, Oghenovo A. - 2019

This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...

Persistent link: https://www.econbiz.de/10012897319

Fake alpha

Müller, Marcel; Rosenberger, Tobias; Uhrig-Homburg, … - 2017

Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns … on average? Our explanation is that investors have a coarser information set than fund managers which leads them to … systematically misinterpret managers' skill. When investors are unable to correctly quantify risk because they have no knowledge of …

Persistent link: https://www.econbiz.de/10011590851

How smart are the smart guys? : a unique view from hedge fund stock holdings

Griffin, John M.; Xu, Jin - In: The review of financial studies 22 (2009) 7, pp. 2531-2570

Persistent link: https://www.econbiz.de/10003866776

The impact of hedge fund managers' career concerns on their returns, risk-taking behavior, and performance persistence

Boyson, Nicole M. - 2003

Persistent link: https://www.econbiz.de/10003378824

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...