Sensation Seeking and Hedge Funds

• 成果类型: Article
• 署名作者: Brown, Stephen; Lu, Yan; Ray, Sugata; Teo, Melvyn
• 署名单位: New York University; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa; Singapore Management University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12723
• 发表日期: 2018
• 页码: 2871-2914
• 关键词: Operational risk; cross-section; performance; overconfidence; people

摘要

We show that, motivated by sensation seeking, hedge fund managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios, information ratios, and alphas. Moreover, sensation-seeking managers trade more frequently, actively, and unconventionally, and prefer lottery-like stocks. We show further that some investors are themselves susceptible to sensation seeking and that sensation-seeking investors fuel the demand for sensation-seeking managers. While investors perceive sensation seekers to be less competent, they do not fully appreciate the superior investment skills of sensation-avoiding fund managers.