Dieses Papier untersucht vier Themenbereiche: Erstens werden die Determinanten der Netto-Zuflüsse in Hedgefonds untersucht. Zweitens betrachten wir die Anreize für das Management von Hedgefonds. Drittens untersuchen wir das Verhalten von Hedgefondsinvestoren. Schliesslich betrachten wir, was...

Recently, there has been explosive growth in two products from the hedge fund industry ⎯ multi-strategy(MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedgefund strategies. In well-functioning markets, both investment vehicles should offer...

Dieses Papier beschäftigt sich mit der Performance US-amerikanischer Hedgefonds. DieAutoren widmen sich dabei insbesondere dem Phänomen, dass die durchschnittliche Renditevon Hedgefonds im Dezember signifikant höher ausfällt als die durchschnittlicheMonatsrendite von Januar bis November....

Fama und French (1992, 1993) haben erstmals gezeigt, dass Portfolios aus Unternehmen miteinem hohem Buch-/Marktwertverhältnis (sog. Value Stocks) eine signifikant höheredurchschnittliche Rendite erzielen als Portfolios aus Unternehmen mit einem niedrigenBuch-/Marktwertverhältnis (sog. Growth...

Using a comprehensive hedge fund database, we examine the role of managerial incentivesand discretion in hedge fund performance. Hedge funds with greater managerial incentives,proxied by delta of option-like incentive fee contracts, managerial ownership, and high-watermark provisions, are...

This paper analyzes the risk and rewards of providing liquidity to the convertible bond market.Using daily data on US and Japanese convertible bonds (CBs), we compute returns to a buy-andhedgearbitrage strategy involving a long position in CBs while hedging the equity, credit, andinterest rate...

This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers, but perform worse. Motivated...

We show that mutual funds report their junior stakes in startups at 43% higher valuation than model fair values that consider multi-tier capital structures of startups. The latest-issued and most senior security is worth 48% per share than junior securities held by mutual funds, implying that...

Using the recent AAPI Hate around 2020-2021 as an exogenous shock, we show that sociopolitical racial animus impairs the performance of mutual funds managed by at least one Asian female manager, the most targeted group by the Hate-induced violence. The decline in performance is greater in states...

We examine the determinants and consequences of changes in hedge fund fee structures.We show that fee changes are asymmetric with much greater incidence of fee increasescompared to fee decreases. We find that managers of younger and smaller funds are morelikely to increase fees after good...