主要经纪商是中间资本吗？

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2023-01-01 DOI:10.1016/j.jfi.2022.101004

Andrew J. Sinclair

{"title":"主要经纪商是中间资本吗？","authors":"Andrew J. Sinclair","doi":"10.1016/j.jfi.2022.101004","DOIUrl":null,"url":null,"abstract":"<div><p>Prime brokers play an important role in intermediating arbitrage capital to hedge funds. A fund’s peer-group ranking, relative to funds that share the same prime broker, significantly affects how investors respond to its past performance. I decompose the standard performance-flow relationship into two components: (1) flows that respond to overall performance rank, and (2) flows that respond to relative (within prime broker) performance rank. Strong <em>relative</em> rank drives fund in-flows, while poor <em>overall</em> rank drives out-flows. These results suggest that prime brokers intermediate about 40% of the standard performance-flow relationship.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"53 ","pages":"Article 101004"},"PeriodicalIF":3.1000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Do prime brokers intermediate capital?\",\"authors\":\"Andrew J. Sinclair\",\"doi\":\"10.1016/j.jfi.2022.101004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Prime brokers play an important role in intermediating arbitrage capital to hedge funds. A fund’s peer-group ranking, relative to funds that share the same prime broker, significantly affects how investors respond to its past performance. I decompose the standard performance-flow relationship into two components: (1) flows that respond to overall performance rank, and (2) flows that respond to relative (within prime broker) performance rank. Strong <em>relative</em> rank drives fund in-flows, while poor <em>overall</em> rank drives out-flows. These results suggest that prime brokers intermediate about 40% of the standard performance-flow relationship.</p></div>\",\"PeriodicalId\":51421,\"journal\":{\"name\":\"Journal of Financial Intermediation\",\"volume\":\"53 \",\"pages\":\"Article 101004\"},\"PeriodicalIF\":3.1000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Intermediation\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042957322000572\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Intermediation","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042957322000572","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

大宗经纪商在为对冲基金中介套利资本方面发挥着重要作用。相对于共享同一主要经纪人的基金，一只基金的同行群体排名会显著影响投资者对其过去业绩的反应。我将标准性能流关系分解为两个部分：（1）响应总体性能排名的流，以及（2）响应相对（在主要代理内）性能排名的流量。较强的相对排名推动资金流入，而较差的整体排名推动资金流出。这些结果表明，主要经纪人中介了大约40%的标准绩效流关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Do prime brokers intermediate capital?

Prime brokers play an important role in intermediating arbitrage capital to hedge funds. A fund’s peer-group ranking, relative to funds that share the same prime broker, significantly affects how investors respond to its past performance. I decompose the standard performance-flow relationship into two components: (1) flows that respond to overall performance rank, and (2) flows that respond to relative (within prime broker) performance rank. Strong relative rank drives fund in-flows, while poor overall rank drives out-flows. These results suggest that prime brokers intermediate about 40% of the standard performance-flow relationship.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.