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Hedge Funds, Managerial Skill, and Macroeconomic Variables
Avramov, Doron - 2013
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment...
Persistent link: https://www.econbiz.de/10013095088
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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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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
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 …
Persistent link: https://www.econbiz.de/10012844428
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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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The effects of management and provision accounts on hedge fund returns
Darolles, Serge; Gouriéroux, Christian - 2013
Persistent link: https://www.econbiz.de/10010342675
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Gaming performance fees by portfolio managers
Foster, Dean P.; Young, H. Peyton - 2009
Persistent link: https://www.econbiz.de/10003861296
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The hedge fund game
Foster, Dean P. (contributor); Young, H. Peyton (contributor) - 2007
Persistent link: https://www.econbiz.de/10003586319
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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