Abstract
Prior research has identified a number of biases in hedge fund databases, notably due to survivorship and selective backfilling of returns. We update and extend on research by examining impact of survivorship on higher moments of distribution of hedge fund returns (volatility, skew and kurtosis) and pattern of survivorship across different hedge fund style groups. We also consider probable causes of death after trawling extensive TASS 'notes' fields for over 1000 defunct funds, referred to affectionately by TASS as the graveyard.
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