The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the end of 2007. However, assets managed by hedge funds...

In Boyson, Stahel, and Stulz (2010), we investigate whether hedge funds experience worst return contagion – that is, correlations in extremely poor returns that are over and above those expected from economic fundamentals. We find strong evidence of contagion among hedge funds using eight...

We examine the performance life cycle of hedge funds. Performance declines with age are pervasive, not just for the average fund, but also for past winners and for funds with characteristics that predict cross-sectional returns. Fund growth and decreasing performance incentives appear to...

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows,...

In this paper, we rationalize the persistent abnormal performance of hedge funds. We show how the commitment to deliver an absolute return, the decreasing returns to scale to which hedge fund strategies are subject, and the performance-linked compensation combine with the incomeaximizing...

This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find...

This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...

Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to...

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

Extant research has focused on mutual fund managers' ability to time market returns or volatility. In this paper, we offer a new perspective on the traditional timing issue by examining fund managers' ability to time market wide liquidity. Using the CRSP mutual fund database, we find strong...