Investor Flows and Share Restrictions in the Hedge Fund Industry
This paper studies the effect of share restrictions on the flow-performance relation of individual hedge funds. As such, we reconcile previous research that shows conflicting results for this relation. Specifically, we find that hedge funds exhibit a convex flow-performance relation in the absence of share restrictions (similar to mutual funds), but exhibit a concave relation in the presence of restrictions-our evidence is consistent with both a direct effect of restrictions and an indirect effect that is due to endogenizing of restrictions by investors. Further, we find that the live database exhibits a concave flow-performance relation due to capacity constraints, but that the defunct database displays a convex relation due to the extreme (good and bad) performing funds that populate this database. Finally, we find that money is smart, that is, fund flows predict future hedge fund performance; however, this smart money effect is reduced among funds with share restrictions.
hedge fund flows share restrictions asset illiquidity smart money effect
Bill Ding Mila Getmansky Bing Liang Russ Wermers
Department of Finance,School of Business,State University of New York at Albany,1400 Washington Aven Isenberg School of Management,University of Massachusetts,121 Presidents Drive,Amherst,MA 01003 Robert H.Smith School of Business,University of Maryland at College Park,College Park,MD 20742-1815
国际会议
大连
英文
1-57
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）