Capacity constraints, investor information, and hedge fund returns

Ramadorai, Tarun (2013) Capacity constraints, investor information, and hedge fund returns. Journal of Financial Economics, 107 (2). pp. 401-416.

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Abstract

To identify capacity constraints in hedge funds and simultaneously gauge how well-informed hedge fund investors are, we need measures of investor demand that do not affect deployed hedge fund assets. Using new data on investor interest from a secondary market for hedge funds, this paper verifies the existence of capacity constraints in hedge fund returns. The results provide more mixed evidence on the informedness of hedge fund investors. Both buy and sell indications arrive following periods of fund outperformance. While buy indications have little incremental power to predict hedge fund performance over and above well-known forecasting variables, sell indications do somewhat better.

Item Type: Article
Keywords: hedge funds, capacity constraints, information, flows, finance
Subject(s): Finance
Date Deposited: 19 Jun 2012 13:22
Last Modified: 02 Mar 2017 11:50
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/3078

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