An Empirical Evaluation Of Hedge Fund Managerial Skills Using Bayesian Techniques
This paper makes use of the Bayesian method to evaluate hedge fund managers’ selectivity, market timing and outperformance skills separately, and investigates their persistence from January 1995 to June 20101. We divide this sample period into four overlapping sub-sample periods that contain diff...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM)
2017
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| Online Access: | http://eprints.usm.my/37121/ http://eprints.usm.my/37121/1/aamjaf13012017_3.pdf |
| _version_ | 1848878102812295168 |
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| author | Muteba Mwamba, John Weirstrass |
| author_facet | Muteba Mwamba, John Weirstrass |
| author_sort | Muteba Mwamba, John Weirstrass |
| building | USM Institutional Repository |
| collection | Online Access |
| description | This paper makes use of the Bayesian method to evaluate hedge fund managers’ selectivity,
market timing and outperformance skills separately, and investigates their persistence
from January 1995 to June 20101. We divide this sample period into four overlapping
sub-sample periods that contain different economic cycles. We defne a skilled manager
as a manager who can outperform the market in two consecutive sub-sample periods. We
employ Bayesian linear CAPM and Bayesian quadratic CAPM to generate skill coeffcients
during each sub-sample period. We found that fund managers who possess selectivity skills
can outperform the market at 7.5% signifcant level if and only if the economic conditions
that governed the fnancial market during the period between sub-sample period2 and subsample period3 remain the same. |
| first_indexed | 2025-11-15T17:26:00Z |
| format | Article |
| id | usm-37121 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:26:00Z |
| publishDate | 2017 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-371212017-10-16T01:42:45Z http://eprints.usm.my/37121/ An Empirical Evaluation Of Hedge Fund Managerial Skills Using Bayesian Techniques Muteba Mwamba, John Weirstrass HD28-70 Management. Industrial Management This paper makes use of the Bayesian method to evaluate hedge fund managers’ selectivity, market timing and outperformance skills separately, and investigates their persistence from January 1995 to June 20101. We divide this sample period into four overlapping sub-sample periods that contain different economic cycles. We defne a skilled manager as a manager who can outperform the market in two consecutive sub-sample periods. We employ Bayesian linear CAPM and Bayesian quadratic CAPM to generate skill coeffcients during each sub-sample period. We found that fund managers who possess selectivity skills can outperform the market at 7.5% signifcant level if and only if the economic conditions that governed the fnancial market during the period between sub-sample period2 and subsample period3 remain the same. Asian Academy of Management (AAM) 2017 Article PeerReviewed application/pdf en http://eprints.usm.my/37121/1/aamjaf13012017_3.pdf Muteba Mwamba, John Weirstrass (2017) An Empirical Evaluation Of Hedge Fund Managerial Skills Using Bayesian Techniques. Asian Academy of Management Journal of Accounting and Finance, 13 (1). pp. 1-20. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_3.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Muteba Mwamba, John Weirstrass An Empirical Evaluation Of Hedge Fund Managerial Skills Using Bayesian Techniques |
| title | An Empirical Evaluation Of Hedge Fund Managerial
Skills Using Bayesian Techniques |
| title_full | An Empirical Evaluation Of Hedge Fund Managerial
Skills Using Bayesian Techniques |
| title_fullStr | An Empirical Evaluation Of Hedge Fund Managerial
Skills Using Bayesian Techniques |
| title_full_unstemmed | An Empirical Evaluation Of Hedge Fund Managerial
Skills Using Bayesian Techniques |
| title_short | An Empirical Evaluation Of Hedge Fund Managerial
Skills Using Bayesian Techniques |
| title_sort | empirical evaluation of hedge fund managerial
skills using bayesian techniques |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/37121/ http://eprints.usm.my/37121/ http://eprints.usm.my/37121/1/aamjaf13012017_3.pdf |