Reference : Hedge Fund Innovation
E-prints/Working papers : Already available on another site
Business & economic sciences : Finance
http://hdl.handle.net/10993/18118
Hedge Fund Innovation
English
Siegmann, Arjen mailto [Vrije Universiteit Amsterdam - VU > Faculty of Economics and Business > Department of Finance]
Stefanova, Denitsa mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Zamojski, Marcin mailto [Vrije Universiteit Amsterdam - VU > Faculty of Economics and Business > Department of Finance]
2014
No
[en] hedge funds ; innovation ; first-mover advantage
[en] 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.
http://hdl.handle.net/10993/18118
http://ssrn.com/abstract=2170435

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