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Hedge fund performance persistence under different business cycles and stock market regimes

Stafylas, Dimitrios; Andrikopoulos, Athanasios; Tolikas, Konstantinos

Authors

Dimitrios Stafylas

Athanasios Andrikopoulos

Konstantinos Tolikas



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.

Citation

Stafylas, D., Andrikopoulos, A., & Tolikas, K. (2023). Hedge fund performance persistence under different business cycles and stock market regimes. North American journal of economics and finance, 64, Article 101866. https://doi.org/10.1016/j.najef.2022.101866

Journal Article Type Article
Acceptance Date Dec 6, 2022
Online Publication Date Dec 9, 2022
Publication Date 2023-01
Deposit Date Jan 6, 2023
Publicly Available Date Dec 10, 2023
Journal North American Journal of Economics and Finance
Print ISSN 1062-9408
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 64
Article Number 101866
DOI https://doi.org/10.1016/j.najef.2022.101866
Keywords Hedge funds; Performance persistence; Business cycles; Stock market regimes
Public URL https://hull-repository.worktribe.com/output/4165169

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