Birds of a Feather: Do Hedge Fund Managers Flock Together?

• 成果类型: Article
• 署名作者: Gerritzen, Marc; Jackwerth, Jens; Plazzi, Alberto
• 署名单位: University of Konstanz; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4843
• 发表日期: 2024
• 关键词: HEDGE FUNDS; social ties; networks; abnormal performance

摘要

Mandatory filings for UK hedge funds suggest that managers having worked at the same prior employer invest more similarly in terms of distances of returns. If they overlapped in employment, increasing the chance of social ties, investments become even more similar. The joint effect accounts for up to two thirds of the difference in investing behavior. Results are robust to fund-and manager-level controls as well as to identification concerns. With controls, the same-employer effect is concentrated in the systematic component (beta), whereas the overlap effect is concentrated in the idiosyncratic components (alpha and residuals). Managerial ties make any two funds more similar in their stock holdings. Moreover, portfolios of connected funds outperform their peers in terms of alpha, return volatility, and Sharpe ratio.