Role of Managerial Incentives and Discretion in Hedge Fund Performance

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y.
• 署名单位: University System of Georgia; Georgia State University; University of Cologne; Drexel University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01499.x
• 发表日期: 2009
• 页码: 2221-2256
• 关键词: asset fire sales; HIGH-WATER MARKS; Agency problems; STOCK-OPTIONS; RISK; COMPENSATION; management; OWNERSHIP; return; strategies

摘要

Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performance. The incentive fee percentage rate by itself does not explain performance. We also find that funds with a higher degree of managerial discretion, proxied by longer lockup, notice, and redemption periods, deliver superior performance. These results are robust to using alternative performance measures and controlling for different data-related biases.