Reference : Hedge Fund Innovation
Scientific congresses, symposiums and conference proceedings : Unpublished conference
Business & economic sciences : Finance
Hedge Fund Innovation
Stefanova, Denitsa mailto [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]
The 28th CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets (ESSFM)
from 17-07-2017 to 21-07-2017
[en] hedge funds ; first-mover advantage ; clustering ; innovation
[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.

There is no file associated with this reference.

Bookmark and Share SFX Query

All documents in ORBilu are protected by a user license.