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Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2017)

We study first-mover advantages in the hedge fund industry by clustering hedge funds based on the type of assets and instruments they trade in, sector and investment focus, and fund details. We find that ... [more ▼]

We study first-mover advantages in the hedge fund industry by clustering hedge funds based on the type of assets and instruments they trade in, sector and investment focus, and fund details. We find that early entry in a cluster is associated with higher excess returns, longer survival, higher incentive fees and lower management fees compared to funds that arrive later. Moreover, the latest entrants have a high loading on the returns of the innovators, but with lower incentive fees, and higher management fees. Cross-sectional regressions show that the out-performance of innovating funds are declining with age. The results are robust to different parameters of clustering and backfill-bias, and are not driven by the possible existence of flagship and follow-on funds. Our results show that the reported characteristics of hedge funds can be used to infer strategy-related information and suggest that specific first-mover advantages exist in the hedge fund industry. [less ▲]

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Peer Reviewed
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Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2015)

Detailed reference viewed: 8 (1 UL)
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Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2015)

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Siegmann, Arjen; Stefanova, Denitsa UL; Zamojski, Marcin

Scientific Conference (2014, December)

Detailed reference viewed: 21 (2 UL)
Peer Reviewed
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Siegmann; Stefanova, Denitsa UL; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 21 (6 UL)
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Siegmann, Arjen; Stefanova, Denitsa UL; Zamojski, Marcin

E-print/Working paper (2014)

We study first-mover advantages in the hedge fund industry by clustering hedge funds based on the type of assets and instruments they trade in, sector and investment focus, and fund details. We find that ... [more ▼]

We study first-mover advantages in the hedge fund industry by clustering hedge funds based on the type of assets and instruments they trade in, sector and investment focus, and fund details. We find that early entry in a cluster is associated with higher excess returns, longer survival, higher incentive fees and lower management fees compared to funds that arrive later. Moreover, the latest entrants have a high loading on the returns of the innovators, but with lower incentive fees, and higher management fees. Cross-sectional regressions show that the out-performance of innovating funds are declining with age. The results are robust to different parameters of clustering and backfill-bias, and are not driven by the possible existence of flagship and follow-on funds. Our results show that the reported characteristics of hedge funds can be used to infer strategy-related information and suggest that specific first-mover advantages exist in the hedge fund industry. [less ▲]

Detailed reference viewed: 25 (2 UL)
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Peer Reviewed
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Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 8 (1 UL)
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Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 10 (2 UL)
Full Text
Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 10 (2 UL)