Recovering Delisting Returns of Hedge Funds
研究利用基金中的基金持仓数据估算对冲基金退市回报率，发现整体退市回报率与存活基金月均回报无显著差异，但业绩差且退市原因不明的基金平均退市回报率为-5.97%。
Abstract Numerous hedge funds stop reporting each year to commercial databases, wreaking havoc with analyzing investment strategies that incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns “tips them over the edge” and leads to delisting.