A new efficiency test for ranking investments: Application to hedge fund performance

C-Tier
Journal: Economics Letters
Year: 2019
Volume: 181
Issue: C
Pages: 203-207

Authors (3)

Bernard, Carole (not in RePEc) Vanduffel, Steven (Vrije Universiteit Brussel) Ye, Jiang (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We extend the concept of cost-efficiency of Dybvig (1988) to account for benchmarks and provide a generalization of the efficiency test from Amin and Kat (2003). We illustrate the new efficiency test by ranking a panel of hedge funds based on their probability distribution and their interaction with a benchmark.

Technical Details

RePEc Handle
repec:eee:ecolet:v:181:y:2019:i:c:p:203-207
Journal Field
General
Author Count
3
Added to Database
2026-01-29