Birds of a Feather - do Hedge Fund Managers Flock Together?

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2016
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Zusammenfassung

Using a novel data set, we construct a network of hedge fund managers based on past employment. Employment in the same industry and employment in the same firm lead to more similar investment behavior in terms of systematic risk (beta), abnormal performance (alpha), and residual returns, explaining about a quarter of the differences. Employment at the same firm at the same time affects only residual returns. Results are robust to fund and manager level controls, as well as to endogeneity concerns. More connected funds perform better, and prior experience in pension funds and banks aids performance.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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hedge funds, social ties, networks, abnormal performance
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ISO 690GERRITZEN, Marc, Jens JACKWERTH, Alberto PLAZZI, 2016. Birds of a Feather - do Hedge Fund Managers Flock Together?
BibTex
@techreport{Gerritzen2016Birds-36308,
  year={2016},
  title={Birds of a Feather - do Hedge Fund Managers Flock Together?},
  author={Gerritzen, Marc and Jackwerth, Jens and Plazzi, Alberto}
}
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