The Strategic Listing Decisions of Hedge Funds

Jorion, Philippe; Schwarz, Christopher G.

doi:10.1017/s0022109014000350

Cited by 25 publications

(7 citation statements)

References 50 publications

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“…We note important data limitations associated with commercial hedge fund return series which we do our best to address. As has been noted in prior research, funds retain discretion on reporting their returns (see: Bollen and Pool (2008), Bollen and Pool (2009), Jorion andSchwarz (2014), andPatton, Ramadorai, andStreatfield (2015)). We restrict our sample to funds for which we have at least 24 months of data, excluding the first 24 months of data to avoid incubation bias, and we also require funds to have at least $20 million in gross asset value.…”

Section: Iiie Inside Investment and Performancementioning

confidence: 99%

Skin or Skim? Inside Investment and Hedge Fund Performance

Gupta¹,

Sachdeva

2019

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Business and ColumbiaUniversity. We thank Billy Xu for excellent research assistance. See https://www.skinorskim.org for Form ADV data used in this paper. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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Section: Iiie Inside Investment and Performancementioning

confidence: 99%

Skin or Skim? Inside Investment and Hedge Fund Performance

Gupta¹,

Sachdeva

2019

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“…Such hedge funds may stop reporting performance to databases because they no longer have incentives to advertise themselves among investors (Ackermann et al, 1999). Jorion & Schwarz (2014) indeed find that investment companies act strategically and they list in multiple commercial databases their small, best-performing funds, which helps them raise awareness about the funds and attract new investments (Fung & Hsieh, 1997, 2000. Agarwal et al (2013) examine the impact of self-selection bias by comparing data in five commercial databases with information in Form 13F that are reported quarterly by advisors (rather than funds) with the Securities and Exchange Commission (SEC).…”

Section: Empirical Findingsmentioning

confidence: 99%

Hedge Fund Performance: A Quantitative Survey

Yang¹,

Havránek²,

Iršová³

et al. 2022

Preprint

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We provide the first quantitative survey of the empirical literature on hedge fund performance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by limited consensus on how hedge fund performance should be measured. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the “alphas”) collected from 74 studies published between 2001 and 2021 we show that inferences about hedge fund returns are not significantly contaminated by publication selection bias. Most of our monthly alpha estimates adjusted for the (small) bias fall within a relatively narrow range of 30 to 40 basis points. Considering several partitions of our sample, we document a modest publication bias only for estimates based on instrumental variables (IV), for which relatively large standard errors are common and that tend to be less precise. In contrast, studies that explicitly control for the potential biases in the underlying data (e.g. the backfilling bias and the survivorship bias) report lower alphas. Our results demonstrate that despite the prevalence of the publication selection bias in numerous other research settings, publication may not be selective when there is no strong a priori theoretical prediction about the sign of estimated coefficients, which may induce greater readiness to publish statistically insignificant results.

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“…Although the majority do self-report to one or more of the commercial hedge fund databases available, many do not, making it difficult to measure overall industry performance and managerial skill. Also, because voluntary reporting is often done for marketing purposes, this leads to positive selection bias in commercial database coverage (e.g., Aiken et al, 2013;Jorion & Schwarz, 2014) resulting in a serious overstating of average hedge fund returns (Getmansky et al, 2015). In addition, there is a high attrition rate among hedge funds reporting to commercial databases (Getmansky et al, 2015).…”

Section: Hedge Fundsmentioning

confidence: 99%

The Klein Tradition

2018

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We start with a blank canvass. We are trying to sketch out a global macro view of the world for the next two years. And we are looking for wealthy patrons that want to buy that piece of art." Hugh Hendry, Founder and Chief Investment Officer of the Eclectica Hedge Fund, interviewed in the Financial Times (Williams, 2015, italics added) Overview Hedge funds are the "darlings" of the investment industry, with currently almost $3 trillion invested in them. These opaque, predominantly unregulated and exclusive investment products, which are only open to wealthy individuals and large investing institutions, possess a mystique and allure that renders them enormously attractive to investors. This is despite their less than stellar performance in recent years. Whereas the large majority of hedge funds are properly constituted and appropriately managed investment vehicles, some are less so, and the important implications of this are expanded upon in the chapter. Specifically in our analysis we draw on psychoanalytic theory, and especially the work of Klein and Bion, to explain the magical appeal of hedge funds to investors, and why they are willing to put so much of their funds and, by extension, their trust into such "exotic" and secretive investment vehicles. In particular, we explain the rapid growth in aggregate hedge fund assets under management until June 2008, followed by their subsequent dramatic collapse, in terms of the 2 conflicting emotions such investments evoke, and, from this, consider the implications of the excitement-generating potential underlying all financial innovations. Adopting the methodological approach of critical discourse analysis, this chapter explores how hedge funds were represented in the financial press, interviews with hedge fund managers, investor comments, and Congress hearings, before and after the burst of the hedge fund "bubble". In particular, we frame the human need for excitement in this discourse. Our study finds evidence demonstrating how hedge funds can be transformed in the minds of investors into objects of fascination and desire, with their unconscious representation dominating their original investment purpose. Drawing on the insights of the psychoanalytic understanding of unconscious fantasies, needs, and drives as these relate to financial markets, and parallels with dot.com mania, we show how hedge fund investors' search for "phantastic objects" (Tuckett & Taffler, 2008) and the associated excitement of being invested in them can become dominant, resulting in risk being ignored. We suggest that financial regulators need to recognise explicitly the key role powerful unconscious processes play in all financial activity at both individual and market levels, and the adverse consequences if such understanding is ignored. Public policy implications are that investors need to be protected from the encouragement to act out their unconscious fantasies to their financial detriment via appropriate regulation, and that stricter ethical guidelines for the hedge fund industry may be ...

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The Strategic Listing Decisions of Hedge Funds

Cited by 25 publications

References 50 publications

Skin or Skim? Inside Investment and Hedge Fund Performance

Skin or Skim? Inside Investment and Hedge Fund Performance

Hedge Fund Performance: A Quantitative Survey

The Klein Tradition

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