This paper investigates hedge funds' ability to time industry-specific returns and shows that funds' timing ability in …

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months … based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous … statistically and economically significant performance persistence for time horizons of up to 36 months. Although we identify …