Investor Interest and Hedge Fund Returns
AbstractEmploying a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following periods of fund outperformance. Buy (sell) indications have some forecasting power for increases (decreases) in hedge fund performance, over and above other well-known forecasting variables. This information in investor demand co-exists with the presence of capacity constraints in hedge fund returns, confirming two main assumptions of Berk and Green (2004).
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8092.
Date of creation: Nov 2010
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Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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