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(Fuente: Reuters via Abnormal Returns) 

Fuente: Bespoke Investment Group)

Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases

Abstract: 
We examine the self-selection bias in voluntarily reported hedge fund performance data. Using data from a set of fund-of-funds, we construct a novel set of returns for hedge funds that otherwise have never reported to a commercial database. These returns allow, for the first time, a direct comparison of performance between funds that choose to report to commercial databases and funds that do not. We find evidence that most of the average fund’s alpha can be explained by its decision to voluntarily report its performance to a database. Additionally, the nature of our data allows us to measure the performance of funds even after they exit the databases – the so-called “dead” funds. After delisting from databases, funds have dramatically lower performance than funds that continue reporting to a database. However, even when controlling for dead funds, we find a large and positive self-selection bias in voluntarily reported hedge fund performance data.

Link al Paper

(Fuente: The Capital Spectator)

Integration and Contagion in US Housing Markets

Abstract:

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metropolitan house price returns as well as MSA contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of MSA house price spatial dynamics.

A R-squared measure reveals an upward trend in MSA housing market integration over the 2000s to approximately .83 in 2010. Among California MSAs, the trend was especially pronounced, as average integration increased from about .55 in 1997 to close to .95 in 2008! The 2000s bubble period similarly was characterized by elevated incidence of statistical jumps in housing returns. Again, jump incidence and MSA jump correlations were especially high in California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of surrounding communities; in contrast, southern California MSA house price returns appeared to move largely in lock step.

The high levels of housing market integration evidenced in the analysis suggest limited investor opportunity to diversify away MSA-specific housing risk. Further, results suggest that macro and policy shocks propagate through a large number of MSA housing markets. Research findings are relevant to all market participants, including institutional investors in MBS as well as those who regulate housing, the housing GSEs, mortgage lenders, and related financial institutions.

Link al Paper.

(Fuente: Bespoke Investment Group)