In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

For funds with greater incentives and greater opportunities to inflate returns, we find that (i) returns during December are significantly higher than those during the rest of the year even after controlling for risk in both time-series and the cross-section; (ii) this December spike is greater...

Recently there has been a rapid growth in the assets managed by hedged mutual funds - mutual funds mimicking hedge funds strategies. In this paper, we examine the performance of these funds relative to hedge funds and traditional mutual funds. We find that despite their use of similar trading...

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

This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...

This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a...

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...