Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases
研究了自愿报告的对冲基金绩效数据中存在的选择性偏差，通过对比报告与未报告基金的业绩，发现报告基金显著优于未报告基金，表明商业数据库可能高估了基金经理的整体能力。
We examine the potential for selection bias in voluntarily reported hedge fund performance data. We construct a set of hedge fund returns that have never been reported to a commercial hedge fund database. These returns allow a direct comparison of performance between funds that choose to report to commercial databases and funds that do not. We find that funds that report their performance to commercial databases significantly outperform nonreporting funds. Our results suggest that the voluntarily reported performance in commercial databases suffers from a selection bias that may exaggerate the average skill of the universe of hedge fund managers. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com. , Oxford University Press.