Fund liquidation, self-selection and look-ahead bias in the hedge ...

5: Persistence Estimates (Raw returns)
Table
performance (raw returns)
Average
Two-Quarters
(2) (3) (1) - (3)
(1)
non corrected corrected double corrected
Decile
0.1284 0.1139 0.1090 0.0193
1(losers)
2 0.1278 0.1253 0.1250 0.0028
3 0.1308 0.1345 0.1356 −0.0048
4 0.1302 0.1322 0.1333 −0.0031
5 0.1230 0.1297 0.1314 −0.0085
6 0.1492 0.1510 0.1503 −0.0011
7 0.1602 0.1650 0.1694 −0.0091
8 0.1848 0.1892 0.1891 −0.0042
9 0.2112 0.2090 0.2095 0.0017
quarter, funds are sorted into ten rank portfolios based on their previous
Each
Next, average returns over the next two quarters are computed, for
two-quarters.
decile. Using returns from 1994-2000, this produces a time-series for each
each
of 21 average two-quarter returns. The numbers in the table are the annu-
decile
time-series averages and their standard errors in parentheses. The standard
alized
are corrected for autocorrelation based on the Newey-West approach. The
errors
figures employ a weighting procedure to eliminate liquidation bias, and
corrected
double corrected employ a weighting procedure to eliminate liquidation and
the
(0.0794) (0.0932) (0.0987) (0.0229)
(0.0335) (0.0374) (0.0380) (0.0067)
(0.0291) (0.0300) (0.0298) (0.0046)
(0.0242) (0.0246) (0.0246) (0.0029)
(0.0218) (0.0249) (0.0253) (0.0058)
(0.0255) (0.0258) (0.0242) (0.0061)
(0.0296) (0.0286) (0.0310) (0.0068)
(0.0416) (0.0450) (0.0445) (0.0072)
(0.0529) (0.0512) (0.0518) (0.0054)
10 (winners) 0.2448 0.2278 0.2283 0.0165
(0.0810) (0.0798) (0.0800) (0.0108)
winners - losers 0.1164 0.1139 0.1193 −0.0028
(0.0918) (0.0984) (0.1027) (0.0247)
self-selection bias.
20