It is mysterious that the same hedge fund may report different performance measures in different places. This paper explores why it is the case. We find that auditing plays an important role in explaining this difference. Due to the private nature, a significant amount of hedge funds are not...

This paper demonstrates that portfolio approach could suffer a serious problem when the sorting variables contain not only true values but also measurement errors. The grouped measurement errors will be embedded into the data used to test financial models and further bias the testing results. To...

We investigate whether analysts' recommendations in the quot;Dartboardquot; column of the Wall Street Journal have an impact on stock prices and whether this impact is temporary or long-lived. We document a significant 2-day announcement effect that is reversed within 15 days. This announcement...

This paper examines whether self-described market timing hedge funds have the ability to time the U.S. equity market. We propose a new measure for timing return and volatility jointly that relates fund returns to the squared Sharpe ratio of the market portfolio. Using a sample of 221 market...

Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the Eacute;-Score to measure hedge fund operational risk. The Eacute;-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage...

Using a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund Database, the study reported here developed a quantitative model called the Eacute;-score to measure hedge fund operational risk. The Eacute;-score is related to...

Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat offset by the relative lack of transparency on operational issues. The performance of a diversified...

Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. We examine the value of disclosure through the controversial SECrequirement, since overturned, which required major hedge funds to register as investment advisors and file Form ADV...

Due diligence is an important source of alpha in a well designed hedge fund portfoliostrategy. It is generally understood that the high returns possible in investing in hedgefunds are somewhat offset by the relative lack of transparency on operational issues. Theperformance of a diversified...

Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the amp;#969;-Score to measure hedge fund operational risk. The amp;#969;-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage...