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...

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

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

Do more active hedge fund managing strategies generate higher returns than the less active ones? We develop a novel approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead equity long-short funds. We find that higher...

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

Institutions holding greater than $100 million in securities are required to disclose their holdings in US listed stocks to the Securities and Exchange Commission (SEC) no later than 45 days after the quarter-end, in a form known as 13F. We show that the "best ideas" of hedge funds produce...

The paper builds on a simple yet novel idea that the way investors react to the recent mutual fund performance depends largely upon the long-term historical performance of that fund. In particular, I find that investors react more actively to the fund's recent performance in case of the funds...

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...

Alternative Mutual Funds (AMFs) follow strategies similar to those of hedge funds and seek returns uncorrelated with the market. We analyze the performance of AMFs for the period January, 1998 through December, 2011 using the Carhart four-factor model and the Fung-Hsieh seven-factor model. Our...

We examine whether investor sentiment affects hedge fund companies' decision to start new funds. We find significantly more fund inceptions in hot markets than in cold markets. Moreover, funds opened in hot markets exhibit weaker subsequent performance, higher risk of fraud, and shorter...