Baquero, G.; Horst, J.R. ter; Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2002
.ect standard estimates of performance persistence. In this paper we analyze the persistence in the performance of U.S. hedge funds … it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures … for performance persistence. The results show that the impact of look-ahead bias is quite severe, even though positive and …