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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10012462327
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Do Funds-of-Funds Deserve Their Fees-on-Fees?
Ang, Andrew - 2008
Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases....
Persistent link: https://www.econbiz.de/10012464705
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky, Mila - 2003
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012469129
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Hedge Funds With Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012470553
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Indirect Incentives of Hedge Fund Managers
Lim, Jongha - 2013
managers. Flows respond quickly and strongly to performance; lagged performance has a monotonically decreasing impact on flows … times as large as direct incentives from incentive fees and returns to managers' own investment in the fund. For new funds … generated for their investors in a given year, managers receive close to another dollar in direct performance fees plus the …
Persistent link: https://www.econbiz.de/10012459758
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Time-Varying Fund Manager Skill
Kacperczyk, Marcin - 2011
Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has … picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms … and recessions and finds that the extent to which managers focus on stock picking or market timing fluctuates with the …
Persistent link: https://www.econbiz.de/10012461042
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Changes in Managerial Pay Structures 1986-1992 and Rising Returns to Skill
O'Shaughnessy, K.C. - 2000
We examine the relationship between wages and skill requirements in a sample of over 50,000 managers in 39 companies …
Persistent link: https://www.econbiz.de/10012471020
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The Economic Value of Higher Teacher Quality
Hanushek, Eric A. - 2010
Most analyses of teacher quality end without any assessment of the economic value of altered teacher quality. This paper combines information about teacher effectiveness with the economic impact of higher achievement. It begins with an overview of what is known about the relationship between...
Persistent link: https://www.econbiz.de/10012462051
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The dark side of outside directors : Do they quit when they are most needed?
Fahlenbrach, Rüdiger - 2010
Outside directors have incentives to resign to protect their reputation or to avoid an increase in their workload when they anticipate that the firm on whose board they sit will perform poorly or disclose adverse news. We call these incentives the dark side of outside directors. We find strong...
Persistent link: https://www.econbiz.de/10012462735
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Which CEO Characteristics and Abilities Matter?
Kaplan, Steven N. - 2008
We study the characteristics and abilities of CEO candidates for companies involved in buyout (LBO) and venture capital (VC) transactions and relate them to hiring decisions, investment decisions, and company performance. Candidates are assessed on more than thirty individual abilities. The...
Persistent link: https://www.econbiz.de/10012464452