Stafylas, D., Andrikopoulos, A. and Tolikas, K. orcid.org/0000-0001-8281-0709 (2023) Hedge fund performance persistence under different business cycles and stock market regimes. The North American Journal of Economics and Finance, 64. 101866. ISSN 1062-9408
Abstract
We examine different aspects of performance persistence of US hedge funds over different business cycles and stock market regimes. During periods of economic growth and bull stock markets, we report performance persistence for up to one year in the risk-adjusted returns of fund portfolios of different investment strategies, which is mainly driven by top fund performers. Performance persistence weakens dramatically during recession periods and bear stock markets. Our results are robust to different combinations of states of economic growth and stock market regimes. Trading strategies constructed on the basis of our results confirm the economic significance of our findings.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2022 Elsevier Inc. |
Keywords: | Hedge funds; Performance persistence; Business cycles; Stock market regimes |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 09 Feb 2023 09:58 |
Last Modified: | 09 Feb 2023 09:58 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.najef.2022.101866 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:196227 |