TY - JOUR
T1 - Hedge Fund Performance Persistence under different Business Cycles and Stock Market Regimes
AU - Stafylas, Dimitrios
AU - Andrikopoulos, Athanasios
AU - Tolikas, Konstantinos
N1 - © 2022 Elsevier Inc. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
PY - 2023/1/1
Y1 - 2023/1/1
N2 - 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.
AB - 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.
U2 - 10.1016/j.najef.2022.101866
DO - 10.1016/j.najef.2022.101866
M3 - Article
SN - 1062-9408
VL - 64
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
M1 - 101866
ER -