Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

• 成果类型: Article
• 署名作者: Sialm, Clemens; Sun, Zheng; Zheng, Lu
• 署名单位: University of Texas System; University of Texas Austin; University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz138
• 发表日期: 2020
• 页码: 4771
• 关键词: asset fire sales; individual investors; Tail risk; performance; liquidity; portfolio; return; INFORMATION; OWNERSHIP; geography

摘要

Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.