AFA2019会议论文(48):Hedge Funds金融经济学 1周前
1、Do Alpha Males Deliver Alpha? Testosterone and Hedge Funds
Yan Lu, University of Central Florida Melvyn Teo, Singapore Management University
Abstract Using facial width-to-height ratio (fWHR) as a proxy for testosterone, we show that high-testosterone hedge fund managers significantly underperform low-testosterone hedge fund managers after adjusting for risk. Moreover, high-testosterone managers are more likely to terminate their funds, disclose violations on their Form ADVs, and exhibit greater operational risk. We trace the underperformance to high-testosterone managers’ greater preference for lottery-like stocks and reluctance to sell loser stocks. Funds operated by high-testosterone managers persist by attracting capital from hightestosterone investors. Incentive alignment ameliorates the impact of testosterone on performance, but only when managers cannot autonomously shape the alignment mechanism itself. Our results are robust to adjustments for sample selection, marital status, sensation seeking, and manager age, and suggest that investors should eschew masculine hedge fund managers.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=188
2、Prime (Information) Brokerage
Nitish Kumar, University of Florida Kevin Mullally, University of Alabama Sugata Ray, University of Alabama Yuehua Tang, University of Florida
We document a channel of information flow from investment banks to their prime brokerage hedge fund clients. We examine whether hedge funds make informed trades on the stocks of firms that obtain new loans from the funds’ prime brokerage services-providing banks. We find that these connected hedge funds make abnormally large trades prior to the loan announcement. Moreover, these trades by the connected hedge funds subsequently generate superior performance compared to other trades. The outperformance is highest for trades of connected hedge funds that have high revenue generation potential for their prime brokers, and amounts to 7.2% – 8.8% per annum.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=561
3、Do Hedge Funds Profit from Public Information?
Alan Crane, Rice University Kevin Crotty, Rice University Tarik Umar, Rice University
Abstract We examine whether hedge funds profit from public information. Unique data on hedge funds’ use of publicly-available SEC filings show funds accessing filings subsequently exhibit 1.5% higher annualized abnormal returns than non-users. Above-median users earn even higher returns. Usage of filings is not merely a proxy for differences in fund ability. Fund returns are systematically related to the returns of stocks whose filings are viewed, suggesting funds act on acquired information. We conduct multiple analyses to explore why public information acquisition is profitable. Results are most consistent with funds using public information to complement private signals.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1813 END |