References of "Siegmann, Arjen"
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See detailHedge Fund Innovation
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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See detailThe evolving beta-liquidity relationship of hedge funds
Stefanova, Denitsa UL; Siegmann, Arjen

in Journal of Empirical Finance (2017), 44

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market ... [more ▼]

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market exposure and aggregate stock market liquidity. Employing an optimal changepoint approach, we find that equity-oriented hedge funds display a significant shift in liquidity-timing behavior after the major market microstructure changes in the year 2000. The shift is from a negative relation between market beta and liquidity towards a positive relation. We rule out a mechanistic explanation of the results by computing the returns to several familiar risk arbitrage strategies, finding in them no evidence of a similar shift in liquidity timing. [less ▲]

Detailed reference viewed: 76 (5 UL)
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Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2015)

Detailed reference viewed: 8 (0 UL)
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Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2015)

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Peer Reviewed
See detailHedge Fund Innovation
Siegmann, Arjen; Stefanova, Denitsa UL; Zamojski, Marcin

Scientific Conference (2014, December)

Detailed reference viewed: 26 (2 UL)
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Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 8 (1 UL)
See detailHedge Fund Innovation
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: 26 (2 UL)
Full Text
Peer Reviewed
See detailHedge Fund Innovation
Stefanova, Denitsa UL; Siegmann, Arjen; Zamojski, Marcin

Scientific Conference (2014)

Detailed reference viewed: 11 (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)
See detailThe Evolving Beta-Liquidity Relationship of Hedge Funds
Siegmann, Arjen; Stefanova, Denitsa UL

E-print/Working paper (2014)

Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market exposure and aggregate stock market liquidity that takes place in the period 2000 to ... [more ▼]

Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market exposure and aggregate stock market liquidity that takes place in the period 2000 to 2002. Before the structural break, market betas have no relation to liquidity and only a few style categories of hedge funds show increased market presence when liquidity is low. After the break, the relationship is inverted, pointing towards an increased liquidity timing ability of hedge funds, as users of liquidity. We relate our findings to best execution rules and decimalization in the US stock market that were introduced in that period and impacted aggregate liquidity conditions. Furthermore, the returns to a momentum strategy display a similar structural break and momentum-loading funds constitute a sizeable proportion of hedge funds that manifest a distinct beta-liquidity evolution with a structural break in that period. [less ▲]

Detailed reference viewed: 66 (3 UL)