kaal:claim:2389416-016

In simple linear regressions of monthly returns on log AUM across the full sample, the AUM coefficient is statistically significant at the 5 percent level only during March through August 2012.

When considering the entire sample and no dummy variable, the estimated beta for the logarithm of the AUM are statistically significant at 5% level only in the period March-August 2012.

Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Hedge Fund Performance (2014), 5.1. Linear Regression
https://ssrn.com/abstract=2389416 · source PDF

Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Hedge Fund Performance (2014). SSRN: https://ssrn.com/abstract=2389416

• entire sample of 2145 funds
• no dummy variable specification

empiricalsupport: evidencedresearch-methodsempirical-evidenceprivate-funds

• extended_by kaal:claim:2816408-021 In simple linear regressions of monthly returns on log AUM across December 2011 to December 2012, fund size do...

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