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Cited by 347

The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

Analysis of hedge fund performance

Capocci, Daniel, Hübner, Georges·2004·Journal of Empirical Finance
DOI 10.1016/j.jempfin.2002.12.002
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Abstract

Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of carhart's (1997) specification combined with the fama and french (1998) and agarwal and naik (2002) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for more than half of the hedge funds categories, and for all funds in general. The performance of hedge funds for several individual strategies and different subperiods, including the asian crisis period, indicates limited evidence of persistence in performance but not for extreme performers.

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Metadata

Authors
Capocci, D., & Hübner, G.
Venue
Journal of Empirical Finance
Publisher
Elsevier BV
Published
2004-01
Volume
11
Issue
1
Pages
55-89
ISSN
0927-5398
DOI
10.1016/j.jempfin.2002.12.002
OpenAlex
W2056700911
Cited by
347
References
5
FWCI
25.54
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Analysis of hedge fund performance. https://app.cochat.ai/papers/10.1016/j.jempfin.2002.12.002
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Capocci, D., & Hübner, G. (2004). Analysis of hedge fund performance. Journal of Empirical Finance. https://doi.org/10.1016/j.jempfin.2002.12.002

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.