This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

We develop a principal-agent model based on a sequential game played by a representative investor and a fund manager in an asymmetric information framework. The model shows that investors' perceptions of the fund market play the key role in the fund's fee-setting mechanism. The managers' true...

Some investment advisors offer multiple versions of a fund with the same manager and highly correlated returns. But these twinʺ funds are separate portfolios for different investors with differing abilities to select and monitor managers. Using a matched sample of retail and institutional twin...

This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...

Using simulation analysis and property-level data for the U.S., we compare performance metrics for portfolios containing varying proportions of gateway and non-gateway markets. Risk-adjusted performance is found to be similar across types of markets. Gateway markets have higher appreciation and...

We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

Mutual funds are mandated by the Securities and Exchange Commission (SEC) to disclose information on their investment objectives and risks. In this paper, we study the informational value of U.S. mutual funds' qualitative disclosures by analyzing the content of funds' prospectuses. First, we...

Potential conflicts of interest arise when IPO underwriters allocate IPO shares to their affiliated funds. We hypothesize that such nepotism incentives affect IPO pricing. Using a novel hand-collected dataset, we find support for this hypothesis in a regression discontinuity design (RDD): a one...

Andrikogiannopoulou and Papakonstantinou (AP; 2019) conduct an inquiry into the bias of the False Discovery Rate (FDR) estimators of Barras, Scaillet, and Wermers (BSW; 2010). In this Reply, we replicate their results, then further explore the bias issue by (i) using different parameter values,...