| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12599 |
| DP12599 The Effect of Investment Constraints on Hedge Fund Investor Returns | |
| Robert Kosowski; Juha Joenväärä; Pekka Tolonen | |
| 发表日期 | 2018-01-15 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly reduced when rebalancing rules reflect fund size restrictions and liquidity constraints, but remains statistically significant at higher rebalancing frequencies. Hypothetical investor portfolios that incorporate additional minimum diversification constraints, minimum investment requirements, and focus on open funds suggest that the performance and its persistence documented in earlier studies of hedge funds is not easily exploitable, especially by large investors. |
| 主题 | Financial Economics |
| 关键词 | Hedge fund performance Persistence frictions Managerial skill |
| URL | https://cepr.org/publications/dp12599 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541410 |
| 推荐引用方式 GB/T 7714 | Robert Kosowski,Juha Joenväärä,Pekka Tolonen. DP12599 The Effect of Investment Constraints on Hedge Fund Investor Returns. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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