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Do Hedge Fund Managers Possess Timing and Selectivity Skill? Evidence from Stock Holdings

Abstract I study the performance of hedge fund managers, using quarterly stock holdings from 1995 to 2010. I use the holdings-based measure built on Ferson and Mo (2012) to decompose a manager's overall performance into stock selection and three components of timing ability: market return, volatility, and liquidity. At the aggregate level, I find that hedge fund managers have stock picking skills but no timing skills, and overall I do not find strong evidence to support their superiority. I show that the lack of abilities is driven by the large fluctuations of timing performance with market conditions. I find that conditioning information, equity capital constraints, and priority in stocks to liquidate can partly explain the weak evidence. At th... (more)
Created Date 2013
Contributor Kang, Minjeong (Author) / Aragon, George O (Advisor) / Hertzel, Michael G (Committee member) / Boguth, Oliver (Committee member) / Arizona State University (Publisher)
Subject Finance / Hedge fund / Holdings-based measure / Liquidity timing / Performance
Type Doctoral Dissertation
Extent 108 pages
Language English
Reuse Permissions All Rights Reserved
Note Ph.D. Business Administration 2013
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS

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Description Dissertation/Thesis