Capacity constraints, investor information, and hedge fund returns

• 成果类型: Article
• 署名作者: Ramadorai, Tarun
• 署名单位: University of Oxford
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.020
• 发表日期: 2013
• 页码: 401-416
• 关键词: HEDGE FUNDS; capacity constraints; INFORMATION; FLOWS

摘要

To identify capacity constraints in hedge funds and simultaneously gauge how well-informed hedge fund investors are, we need measures of investor demand that do not affect deployed hedge fund assets. Using new data on investor interest from a secondary market for hedge funds, this paper verifies the existence of capacity constraints in hedge funds. There is more mixed evidence on the information available to hedge fund investors. Buy and sell indications arrive following fund outperformance. While buy indications have little incremental power to predict hedge fund performance over and above well-known forecasting variables, sell indications do somewhat better. (c) 2012 Elsevier B.V. All rights reserved.