This study assesses whether the accrual-generating process is adequately described by a linear model with respect to a range of underlying determinants examined by prior literature. We document substantial departures from linearity across the distributions of accrual determinants, including...

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...