Universität zu Köln

Agarwal, Vikas ORCID: 0000-0002-9099-8542, Lu, Yan and Ray, Sugata (2016). Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds. Manage. Sci., 62 (3). S. 722 - 741. CATONSVILLE: INFORMS. ISSN 1526-5501

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Abstract

We examine the simultaneous management of hedge funds and funds of hedge funds. Hedge fund firms can choose to simultaneously offer a fund of hedge funds. Similarly, fund of hedge funds firms can simultaneously offer a hedge fund. We find that although superior past performance and larger size drive the decision to become simultaneous for hedge fund firms, past flows drive the decision for fund of hedge funds firms. The effects of simultaneity are also different. When hedge fund firms start funds of hedge funds, we find evidence of value creation, driven by better management of economies of scale and cross learning. In contrast, fund of hedge funds firms starting hedge funds destroy value due to expansion beyond core competencies and agency problems. We find that firms learn about their competencies in the two business lines and discontinue underperforming simultaneity arrangements to focus on the business where they perform better.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Agarwal, Vikas UNSPECIFIED orcid.org/0000-0002-9099-8542 UNSPECIFIED Lu, Yan UNSPECIFIED UNSPECIFIED UNSPECIFIED Ray, Sugata UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-283003
DOI:	10.1287/mnsc.2014.2126
Journal or Publication Title:	Manage. Sci.
Volume:	62
Number:	3
Page Range:	S. 722 - 741
Date:	2016
Publisher:	INFORMS
Place of Publication:	CATONSVILLE
ISSN:	1526-5501
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language FAMILY VALUES; MUTUAL FUNDS; PERFORMANCE; BIASES; RISK; DATABASES; INVESTORS; HOLDINGS; RETURNS Multiple languages Management; Operations Research & Management Science Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/28300