Open-End Organizational Structures and Limits to Arbitrage

• 成果类型: Article
• 署名作者: Giannetti, Mariassunta; Kahraman, Bige
• 署名单位: Stockholm School of Economics; Center for Economic & Policy Research (CEPR); University of Oxford
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx057
• 发表日期: 2018
• 页码: 773
• 关键词: HEDGE FUNDS; stock returns; cross-section; Investor sentiment; performance; management; MARKET; RISK; FLOWS; style

摘要

We provide evidence that open-end organizational structures undermine incentives for asset managers to attack long-term mispricing. We compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than do open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with high share restrictions having a lower degree of open-endedness also trade against long-term mispricing to a larger extent than do other hedge funds. Our analysis suggests that open-end organizational structures are not conducive to long-term risky arbitrage.