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Hedge Fund Flows and Performance Streaks : How Investors Weigh Information

Cash flows to hedge funds are highly sensitive to performance streaks, a streak being defined as subsequent quarters during which a fund performs above or below a benchmark, even after controlling for a wide range of common performance measures. At the same time, streaks have limited predictive power regarding future fund performance. This suggests investors weigh information suboptimally, and their decisions are driven too strongly by a belief in continuation of good performance, consistent with the “hot hand fallacy.” The hedge funds that investors choose to invest in do not perform significantly better than those they divest from. These findings are consistent with overreaction to certain types of information and do not support the notion that sophisticated investors have superior information or superior information processing abilities.

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.68 No.6 June 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 4151-4172

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

HEDGE FUNDS
CASH FLOWS
HOT HAND FALLACY
PERFORMANCE STREAKS
RELATIVE WEIGHTS
SMART MONEY

Info Detail Spesifik

https://doi.org/10.1287/mnsc.2021.4067

Pernyataan Tanggungjawab

Guillermo Baquero, Marno Verbeek

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