Disagreement exploitation and the cross‐section of hedge fund performance

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE
Gady Jacoby, Shi Li, Nanying Lin, Yan Yang
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Abstract

This study examines the role of market disagreement in explaining the cross‐section of hedge fund performance. In a market where disagreement fluctuates, skilled arbitrageurs may employ trading strategies to exploit the mispricing caused by disagreement and short‐sale constraints. Skilled hedge funds with high sensitivity to disagreement can take advantage of mispricing in high‐disagreement periods to improve their performance. We show that hedge funds with a high disagreement beta tend to possess skill in exploiting disagreement and, as such, they can earn higher cross‐sectional returns compared to other hedge funds lacking this skill. Existing risk factors and a tradable disagreement factor do not fully explain the difference in hedge fund performance between those with high and low disagreement betas. Further evidence shows that experienced hedge funds and hedge funds that charge a high incentive fee are likely to have high disagreement betas. Our empirical findings are robust in using various disagreement measures and methodologies to estimate disagreement beta.
分歧利用与对冲基金业绩横截面
本研究探讨了市场分歧在解释对冲基金业绩横截面方面的作用。在分歧波动的市场中,熟练的套利者可能会采用交易策略来利用分歧和卖空限制造成的错误定价。对分歧敏感度高的熟练对冲基金可以利用高分歧期的错误定价来提高业绩。我们的研究表明,具有高分歧贝塔值的对冲基金往往拥有利用分歧的技能,因此,与缺乏这种技能的其他对冲基金相比,它们可以获得更高的横截面回报。现有的风险因素和可交易的分歧因素并不能完全解释高分歧贝塔系数和低分歧贝塔系数对冲基金之间的业绩差异。进一步的证据表明,经验丰富的对冲基金和收取高额奖励费用的对冲基金很可能具有较高的分歧押注。我们的实证研究结果在使用各种分歧度量和方法来估计分歧贝塔时都是稳健的。
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来源期刊
Financial Management
Financial Management BUSINESS, FINANCE-
CiteScore
6.00
自引率
0.00%
发文量
27
期刊介绍: Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.
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