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Hedge Fund Innovation
Stefanova, Denitsa; Siegmann, Arjen; Zamojski, Marcin
2017The 28th CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets (ESSFM)
 

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Keywords :
hedge funds; first-mover advantage; clustering; innovation
Abstract :
[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.
Disciplines :
Finance
Author, co-author :
Stefanova, Denitsa  ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Siegmann, Arjen;  VU University Amsterdam > Department of Finance
Zamojski, Marcin;  University of Gothenburg > Centre for Finance
External co-authors :
yes
Language :
English
Title :
Hedge Fund Innovation
Publication date :
2017
Event name :
The 28th CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets (ESSFM)
Event date :
from 17-07-2017 to 21-07-2017
Audience :
International
Focus Area :
Finance
Available on ORBilu :
since 18 December 2017

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