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Bräuer, Leonie; Hau, Harald - 2024

-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical … hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and … European investment funds, even though optimal hedging strategies could without incurring substantial trading costs. …

Persistent link: https://www.econbiz.de/10015168533

Chapter 14. Investment Performance: A Review and Synthesis

Ferson, Wayne E. - 2013

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Persistent link: https://www.econbiz.de/10014025364

Hedge fund investment in ETFs

Cumming, Douglas J.; Monteiro, Pedro - 2023 - This Draft: January 31, 2023

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Persistent link: https://www.econbiz.de/10013555545

The effectiveness of hedge fund investment strategies under various market conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

Persistent link: https://www.econbiz.de/10012237267

Investor concentration, flows, and cash holdings : evidence from hedge funds

Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W. - 2017

We show that when only a few investors own a substantial portion of a hedge fund's net asset value, flow volatility increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we confirm that high investor concentration...

Persistent link: https://www.econbiz.de/10011803704

Hedge Fund Flows and Performance Streaks : How Investors Weigh Information

Baquero, Guillermo - 2015

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...

Persistent link: https://www.econbiz.de/10013029677

Institutional investments in pure play stocks and implications for hedging decisions

Minton, Bernadette A.; Schrand, Catherine - 2016

incentives to reduce volatility via hedging. We further characterize institutions' investments for pure play stocks across …

Persistent link: https://www.econbiz.de/10011810908

Retail Hedge Fund Investors and the Inequality of Investment Opportunities

Sinclair, Andrew; Zhang, Chuyi - 2021

In the interest of consumer financial protection, most households do not have access to the hedge fund market. We show that this creates an inequality of investment opportunities. Wealthy households can access this market, and while these retail investors behave very differently from...

Persistent link: https://www.econbiz.de/10013224062

Gambling for Dollars : Strategic Hedge Fund Manager Investment

Bernhardt, Dan - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it. We impose only the minimal restrictions on the...

Persistent link: https://www.econbiz.de/10013071765

The equity market implications of the retail investment boom

Beck, Philippe van der; Jaunin, Coralie - 2021

This paper quantifies the impact of Robinhood traders on the US equity market. Within a structural model, we estimate retail and institutional demand curves and derive aggregate pricing implications via market clearing. The inelastic nature of institutional demand allows Robinhood traders to...

Persistent link: https://www.econbiz.de/10012487631