Recovering Delisting Returns of Hedge Funds

James E. Hodder, Jens Carsten Jackwerth, Olga Kolokolova

Research output: Contribution to journalArticlepeer-review


Numerous hedge funds stop reporting each year to commercial data bases, wreaking havoc with analyzing investment strategies which incur the unobserved delisting return. We use estimated portfolio holdings for funds-of-funds to back out estimated hedge-fund delisting returns. For all exiting funds, the estimated mean delisting return is insignificantly different from the average monthly return for live hedge funds. However, funds with poor prior performance and no clearly stated delisting reason had a significantly negative estimated mean delisting return of -5.97%, suggesting that a shock to their returns "tips them over the edge" and leads to delisting. Copyright © Michael G. Foster School of Business, University of Washington 2014.
Original languageEnglish
Pages (from-to)797-815
JournalJournal of Financial and Quantitative Analysis
Issue number3
Publication statusPublished - 11 Aug 2014


  • Hedge Funds
  • Delisting
  • Liquidation


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