SAIF Seminar Series (21)
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Topic: | SAIF Seminar Series (21) | |
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Time: | Friday , 2010-11-12 12:00-08:00 | |
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Affiliations: | College of Business at Illinois | |
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Topic:
SAIF Seminar Series (21)
Time:
星期四,2010-11-12 10:30-12:00
Venue:
淮海西路211号，达通广场，505室
Speaker:
Jay Wang
The Dynamics of Hedge Fund Fees
简介：
Abstract
We examine the dynamic setting of hedge fund fees using a large panel data set over 2001 to 2009. Consistent with the idea that unestablished managers signal their ability using incentive fees, we find that smaller fund families tend to charge higher incentive fees and lower management fees on their new funds. Compared with other new funds in small families, funds with such a fee structure are more likely to survive. Funds tend to increase management fees after a consistently good performance. Poorly performing funds tend to close down. Once we control for this survivorship bias, we find that poor performance leads to a decrease in management fee. Moderate increases in either type of fee are followed by a decline in fund performance. Interestingly, a large increase in management fee reduces subsequent fund flows but not subsequent performance, consistent with presence of diseconomies of scale. Overall our results are supportive of the hypothesis that incentive fee signals superior ability for less established managers whereas management fee reflects ability established through track record.
报告人信息:
主页： http://www.business.illinois.edu/facultyprofile/faculty_profile.aspx?ID=270 研究领域：Investments and Corporate Finance |
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