Pure return persistence, Hurst exponents and hedge fund selection – A practical note
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
http://link.springer.com/content/pdf/10.1057/jam.2016.7.pdf
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3. Agarwal, V. and Naik, N. (2000) Multi-period performance persistence analysis of hedge funds. Journal of Financial and Quantitative Analysis 35(3): 327–342.
4. Amenc, N., El Bied, S. and Martellini, L. (2003) Predictability in hedge fund returns. Financial Analysts Journal 59(5): 32–46.
5. Amvella, S., Meier, I. and Papageorgiou, N. (2010) Persistence analysis of hedge fund returns, Unpublished Manuscript, HEC Montréal.
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