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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed …
Persistent link: https://www.econbiz.de/10013128908
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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/10012787775
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky Sherman, Mila - 2010
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/10012762841
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Detecting Crowded Trades in Currency Funds
Pojarliev, Momtchil - 2010
methodology to measure crowded trades and apply it to professional currency managers. Our results suggest that carry became a … assets - among hedge funds. Further research in this area might be very relevant for investors, managers and regulators …
Persistent link: https://www.econbiz.de/10013148380
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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/10013084738
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Learning About CEO Ability and Stock Return Volatility
Pan, Yihui - 2013
When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...
Persistent link: https://www.econbiz.de/10013085131
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Hedge Fund Leverage
Ang, Andrew - 2011
We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the...
Persistent link: https://www.econbiz.de/10013129223
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The Effect of Liquidity on Governance
Edmans, Alex - 2011
disposal. Since the threat of governance, not just actual governance, can discipline managers, we use Section 13 filings to …
Persistent link: https://www.econbiz.de/10013118841
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The Real Effects of Hedge Fund Activism : Productivity, Asset Allocation, and Labor Outcomes
Brav, Alon - 2011
This paper studies the long-term effect of hedge fund activism on the productivity of target firms using plant-level information from the U.S. Census Bureau. A typical target firm improves its production efficiency in the three years after an activist intervention, and the improvements are most...
Persistent link: https://www.econbiz.de/10013119570
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The Cost of Capital for Alternative Investments
Jurek, Jakub W. - 2013
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with...
Persistent link: https://www.econbiz.de/10013072872