Cash flows between investors and funds are both cause and effect in a complex web of economic decisions. Among the issues at stake are the prospects and fees of the funds, the efforts and risk choices by the funds’ managers, the pricing and comovement of the assets they trade, the stability of...

We investigate how share restrictions affect hedge fund performance in crisis and non-crisis periods. Consistent with prior research, we find that in the pre-crisis period more illiquid funds generate a share illiquidity premium compensating investors for limited liquidity. In the crisis period,...

Nearly one in five hedge funds change their share restrictions (e.g., lockup) from 2007 to 2012. Using a large panel dataset, this paper is the first to empirically examine the incidence, determinants, and consequences of share restriction changes. We find that funds with high asset liquidity...

Models play an important role in strategic asset allocation (SAA), however by too much trust in the model stability, results are typically not so useful for practitioners. Professionals usually face the challenging problem of choosing a SAA model that matches their goals, bearing the operational...

Investors seeking exposure to global equity markets commonly buy international mutual funds managed by locally based fund managers. How competitive is this form of intermediated investing? We investigate whether international equity fund managers mimic each other's portfolio holdings and analyze...

We explore the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors using a regime switching model. We report three previously undocumented features in hedge fund data. First, we find a weak inflow-performance relation at quarterly...

A striking feature of international portfolio investment is the extent to which equity portfolios are concentrated in the domestic market of the investor. We investigate differences in home bias on an individual level by studying portfolios formed as a part of the new defined contribution...

This study compares the relative importance of thirteen attributes in explaining the cross-sectional variations in the returns of hedge funds, using a large sample from the TASS database covering the 1989-2005 period. We use a simple characteristic-based model of return decomposition, which has...

Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional financial integration, capital account liberalization, and structural improvements to markets. The development of equity markets provides a more...

We test the assertion that a consequence of voluntarily adopting International Accounting Standards (IAS) is the enhanced ability to attract foreign capital. Using a unique database that reports firm-level holdings of over 25,000 mutual funds from around the world, our multivariate tests find...