Skin or Skim?∗
نویسندگان
چکیده
We document novel patterns of insider investment in hedge funds, and explore the implications for fund returns. Using a comprehensive and survivor-bias free dataset of U.S. hedge funds, we find that funds with greater investment by insiders outperform funds with less “skin in the game” on a factor-adjusted basis. Our results have implications for optimal portfolio allocations of institutional investors and agency models of delegated asset management. PRELIMINARY AND INCOMPLETE, PLEASE DO NOT CITE OR CIRCULATE. COMMENTS VERY WELCOME ∗We thank Yakov Amihud, Kent Daniel, Wei Jiang, Ralph Koijen, Stijn Van Nieuwerburgh, Jeffrey Wurgler, and workshop participants at Columbia University and New York University. We thank HFR, CISDM, BarclaysHedge, and Eurekahedge for data that contributed to this research. We gratefully acknowledge the generous research support from the NYU Stern Center for the Global Economy and Business, and Columbia University.
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تاریخ انتشار 2017