Hedge Fund Flows and Performance Streaks: How Investors Weigh Information

• 成果类型: Article
• 署名作者: Baquero, Guillermo; Verbeek, Marno
• 署名单位: European School of Management & Technology; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4067
• 发表日期: 2022
• 页码: 4151-4172
• 关键词: HEDGE FUNDS; Cash flows; hot hand fallacy; performance streaks; relative weights; SMART MONEY

摘要

Cash flows to hedge funds are highly sensitive to performance streaks, a streak being defined as subsequent quarters during which a fund performs above or below a benchmark, even after controlling for a wide range of common performance measures. At the same time, streaks have limited predictive power regarding future fund performance. This suggests investors weigh information suboptimally, and their decisions are driven too strongly by a belief in continuation of good performance, consistent with the hot hand fallacy. The hedge funds that investors choose to invest in do not perform significantly better than those they divest from. These findings are consistent with overreaction to certain types of information and do not support the notion that sophisticated investors have superior information or superior information processing abilities.