The economics of hedge funds

• 成果类型: Article
• 署名作者: Lan, Yingcong; Wang, Neng; Yang, Jinqiang
• 署名单位: Cornerstone Research; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.05.004
• 发表日期: 2013
• 页码: 300-323
• 关键词: High-water mark (HWM); alpha; Management fees; Incentive fees; Liquidation risk; New money flow

摘要

Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously risk-averse and decreases leverage following poor performance to increase the fund's survival likelihood. Our calibration suggests that management fees are the majority of the total compensation. Money flows, managerial restart options, and management ownership increase the importance of high-water-mark-based incentive fees but management fees remain the majority. Investors' valuation of fees are highly sensitive to their assessments of the manager's skill. (C) 2013 Elsevier B.V. All rights reserved.