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Reputation concerns and slow-moving capital

Malliaris, Steven; Yan, Hongjun - In: Review of asset pricing studies : RAPS 11 (2021) 3, pp. 580-609

Persistent link: https://www.econbiz.de/10012620089

High-Water Marks and Hedge Fund Management Contracts with Partial Information

Song, Dandan - 2012

This paper extends the Goetzmann, Ingersoll, and Ross (2003) model to the case of partial information, where the expected return of a hedge fund is not observable but known to be either high or low. The fund manager can dynamically update his belief about the true value of the expected return...

Persistent link: https://www.econbiz.de/10013112548

Risk Choice under High-Water Marks

Drechsler, Itamar - 2014

I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors'...

Persistent link: https://www.econbiz.de/10013067108

Managerial Incentives and the Risk-Taking Behavior of Hedge Fund Managers

Amvella, Serge Patrick - 2012

(2008) fail to find a general trend in hedge fund managers risk-taking behavior when their option is out of the money …

Persistent link: https://www.econbiz.de/10013115828

Income Taxes and Managerial Incentives : Evidence from Hedge Funds

Agarwal, Vikas; Chen, Gary; Shi, Zhen; Wang, Bin - 2021

We find a negative relation between hedge fund manager’s personal income tax rates and fund performance. Using changes … in tax deferral regulation or state-level tax rates suggest causality in the tax-performance relation. Managers are less … disincentivizing managers to engage in more demanding acquisition and processing of information. However, higher incentives from …

Persistent link: https://www.econbiz.de/10013217801

Evaluating investments using higher moments

Diro Ejara, Demissew - In: Modern economy 7 (2016) 3, pp. 320-326

Persistent link: https://www.econbiz.de/10011548758

Diversification with risk factors and investable hedge fund indices

Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116

Persistent link: https://www.econbiz.de/10011411941

Portfolio optimization in hedge funds by OGARCH and Markov switching model

Luo, Cuicui; Seco, Luis; Wu, Lin-Liang Bill - In: Omega : the international journal of management science 57 (2015), pp. 34-39

Persistent link: https://www.econbiz.de/10011416043

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

events, a reflection of the dynamic positioning of hedge fund portfolio managers. …

Persistent link: https://www.econbiz.de/10011505836

Equity market neutral hedge funds and the stock market : an application of score-driven copula models

Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023

Persistent link: https://www.econbiz.de/10012060246