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Pension funds' allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans

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  • V. Bouvatier
  • S. Rigot

Abstract

This article investigates the characteristics of US and Canadian pension funds that allocate assets to hedge funds. The typical pension fund that invests in hedge funds is a large sophisticated pension fund that diversifies its portfolio across numerous classes of investments, private equity in particular, uses a core-satellite organization and has access to low delegation costs for alternative assets. Moreover, we find that pension funds investing in hedge funds significantly obtained higher global returns.

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File URL: http://hdl.handle.net/10.1080/00036846.2012.725932
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 45 (2013)
Issue (Month): 26 (September)
Pages: 3701-3710

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Handle: RePEc:taf:applec:v:45:y:2013:i:26:p:3701-3710

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  1. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
  2. Jan de Dreu & Jacob Bikker, 2009. "Pension fund sophistication and investment policy," DNB Working Papers 211, Netherlands Central Bank, Research Department.
  3. Bauer, R.M.M.J. & Cremers, K.J.M. & Frehen, R.G.P., 2010. "Pension Fund Performance and Costs: Small is Beautiful," MPRA Paper 23556, University Library of Munich, Germany.
  4. Sandra Rigot & Yamina Tadjeddine, 2010. "Emergence of a New Regulation: Informational Disclosure Modalities in the Hedge Fund Opacity World," Economie Internationale, CEPII research center, issue 123, pages 161-196.
  5. Kenneth R. French, 2008. "Presidential Address: The Cost of Active Investing," Journal of Finance, American Finance Association, vol. 63(4), pages 1537-1573, 08.
  6. Bikker, Jacob A. & De Dreu, Jan, 2009. "Operating costs of pension funds: the impact of scale, governance, and plan design," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(01), pages 63-89, January.
  7. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06.
  8. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
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