This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of orders three and four. This Higher Moment Estimation (HME) technique has significant consequences...

In this paper, we study the potential relationship between mutual fund size and performance in a general framework. We sequentially test for a linear and a quadratic relationship using several traditional performance measures as well as a new measure based on multi-factor models. We find...

In this paper, we globally investigate market timing abilities of mutual fund managers from the three following perspectives: market return, market-wide volatility and market aggregate liquidity. We propose a generalized specification to study market timing. Instead of considering an average...

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual...