Alpha or beta in the eye of the beholder: What drives hedge fund flows?

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Green, T. Clifton; Ren, Honglin
• 署名单位: University System of Georgia; Georgia State University; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.01.006
• 发表日期: 2018
• 页码: 417-434
• 关键词: HEDGE FUNDS; INVESTOR FLOWS; alpha; Alternative beta; Exotic beta

摘要

Capital Asset Pricing Model (CAPM) alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic risk components and find that while investors chase both components, they place greater relative emphasis on returns associated with exotic risk exposures that can only be obtained through hedge funds. However, we find little evidence of persistence in performance from traditional or exotic risks, which cautions against investors' practice of seeking out risk exposures following periods of recent success. (C) 2018 Elsevier B.V. All rights reserved.