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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
managers that are contrarian — earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all … other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior …
Persistent link: https://www.econbiz.de/10012844428
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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
, while mutual fund strategies are largely trend following. The only institutional performers---the 2/3 of hedge fund managers … that are contrarian---earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other … manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian …
Persistent link: https://www.econbiz.de/10012855800
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Hedge fund manager skill and style-shifting
Jiang, George J.; Liang, Bing; Zhang, Huacheng - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2284-2307
Persistent link: https://www.econbiz.de/10013268141
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Style and skill : hedge funds, mutual funds, and momentum
Grinblatt, Mark; Jostova, Gergana; Petrasek, Lubomir; … - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5505-5531
Persistent link: https://www.econbiz.de/10012391386
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Hedge Fund Activism Skill
Goel, Arjun; Rettl, Daniel A. - 2022
Hedge fund activism generates persistent performance, but heterogeneity in performance suggests that some hedge fund activists are more skilled than others. We use a Markov Chain Monte Carlo Bayesian estimation algorithm to isolate a time-invariant activist-specific skill component from...
Persistent link: https://www.econbiz.de/10014244992
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Do hedge fund managers understand politics? : political sensitivity and investment skill
Chen, Honghui; Kumar, Alok; Lu, Yan; Singh, Ajai K. - In: Journal of banking & finance 135 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013401893
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How fast do investors learn? : asset management investors and Bayesian learning
Schwarz, Christopher; Sun, Zheng - In: The review of financial studies 36 (2023) 6, pp. 2397-2430
Persistent link: https://www.econbiz.de/10014320674
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Do mutual funds lose talent to hedge funds? : evidence from China
Hong, Xin; Kang, Di; Wang, Zhibin - In: International review of economics & finance : IREF 75 (2021), pp. 679-689
Persistent link: https://www.econbiz.de/10012692813
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Limited attention, managerial multitasking, and hedge fund performance in China
Li, Lu; Li, Yang; Wang, Xueding; He, Yuqian - In: Pacific-Basin finance journal 67 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013258141
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Have hedge funds solved the idiosyncratic volatility puzzle?
Bali, Turan G.; Weigert, Florian - 2018
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10011993511