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

appendix contains the estimation results for the binary liquidation
This
self-selection models, when fund size is excluded from the conditioning
and
These models, estimated over a larger sample, are used to correct for
set.
and self-selection bias in cases where fund NAV is unobserved.
liquidation
−0.343 0.363 long/short equity −0.133 0.073
ln(Age) 2 0.061 0.048 managed futures −0.285 0.067
ln(Age)
9: Estimation results liquidation model, excluding net asset value
Table
21297 fund/period observations.
(size);
Appendix
Parameters Estimate Std.error Parameters Estimate Std. Error
intercept 3.986 0.719 offshore −0.110 0.049
r(−1) 1.250 0.201 Incentive Fees −0.008 0.003
r(−2) 1.065 0.216 Mng. Fees −0.018 0.023
r(−3) 1.282 0.217 underwater −0.340 0.063
r(−4) 0.499 0.219 emerging markets −0.017 0.078
r(−5) 0.252 0.178 equity market neutral −0.162 0.088
r(−6) 0.012 0.162 event driven 0.155 0.102
fixed income arbitrage −0.067 0.200
StDev 0.522 0.352 global macro 0.019 0.174
Loglikelihood: −1817.495 Chi-squared test: 502.38 (DF =41)
pseudoR 2 :0.1214 (p =0.000)
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