Information spillovers and performance persistence for hedge funds

• 成果类型: Article
• 署名作者: Glode, Vincent; Green, Richard C.
• 署名单位: University of Pennsylvania; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.015
• 发表日期: 2011
• 页码: 1-17
• 关键词: HEDGE FUNDS; Performance persistence; disclosure; Information spillovers

摘要

We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition if informed investors were to partner with non-incumbent managers, incumbent managers will let informed investors benefit from increases in estimated profitability following high returns realized with the trading strategy or in the sector. (C) 2011 Elsevier B.V. All rights reserved.