CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic...

Using a novel dataset that tracks daily changes in hedge fund fee structure, we examine the determinants and consequences of changes in the three components of the fee structure, namely the management fee, incentive fee, and the high-water mark provision. We find that funds respond symmetrically...

We examine the practice of simultaneous management of hedge funds and funds of hedge funds. Hedge fund firms can choose to simultaneously offer a fund of hedge funds. Similarly, fund of hedge funds firms can simultaneously offer a hedge fund. We find that while superior past performance drives...

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F. Our evidence supports hiding private information as the dominant motive for...

This paper is a first study to formally analyze the biases related to self-reporting in the hedge funds 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...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...