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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
, while mutual fund strategies are largely trend following. The only institutional performers---the 2/3 of hedge fund managers … that are contrarian---earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other … manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian …
Persistent link: https://www.econbiz.de/10012855800
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The Effect of Investment Constraints on Hedge Fund Investor Returns
Joenväärä, Juha - 2018
This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...
Persistent link: https://www.econbiz.de/10012938196
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Hedge Fund Activism Skill
Goel, Arjun; Rettl, Daniel A. - 2022
Hedge fund activism generates persistent performance, but heterogeneity in performance suggests that some hedge fund activists are more skilled than others. We use a Markov Chain Monte Carlo Bayesian estimation algorithm to isolate a time-invariant activist-specific skill component from...
Persistent link: https://www.econbiz.de/10014244992
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Have hedge funds solved the idiosyncratic volatility puzzle?
Bali, Turan G.; Weigert, Florian - 2018
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10011993511
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Hedge Fund Activism, CEO Turnover and Compensation
Choi, Wonik - 2020
This paper examines the governance role of hedge fund activists by analyzing the impact of these activists on CEO turnover, CEO pay, and CEO pay-performance link in targeted companies. Using the difference-in-difference approach, we first find significantly higher CEO turnover following hedge...
Persistent link: https://www.econbiz.de/10012851568
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Fake alpha
Müller, Marcel; Rosenberger, Tobias; Uhrig-Homburg, … - 2017
Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns … on average? Our explanation is that investors have a coarser information set than fund managers which leads them to … systematically misinterpret managers' skill. When investors are unable to correctly quantify risk because they have no knowledge of …
Persistent link: https://www.econbiz.de/10011590851
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Are Fund Alphas Robust Proxies for Funds Managers' Managerial Skill?
Obrimah, Oghenovo A. - 2019
This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...
Persistent link: https://www.econbiz.de/10012897319
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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2015
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10013038628
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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10012462327