Limited attention, marital events and hedge funds

• 成果类型: Article
• 署名作者: Lu, Yan; Ray, Sugata; Teo, Melvyn
• 署名单位: State University System of Florida; University of Central Florida; State University System of Florida; University of Florida; Singapore Management University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.09.004
• 发表日期: 2016
• 页码: 607-624
• 关键词: HEDGE FUNDS; limited attention; marriage; divorce; Disposition effect

摘要

We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect. (C) 2016 Elsevier B.V. All rights reserved.