多样化的对冲基金

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-08-12 DOI:10.1093/rfs/hhad064

Yan Lu, Narayan Y Naik, Melvyn Teo

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引用次数: 0

摘要

教育背景、学术专长、工作经验、性别和种族不同的对冲基金团队在调整风险和基金特征后，表现优于同质团队。对经理团队转变的事件研究，工具变量回归，以及同时操作个人和团队管理基金的经理的分析，解决了内生性问题。多样化的团队通过套利更多的股票异常，避免行为偏差和最小化下行风险来提供卓越的回报。此外，多元化使对冲基金能够规避能力限制，创造持久的业绩。我们的研究结果表明，多元化增加了资产管理的价值。

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Diverse Hedge Funds

Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.