Birds of a Feather : Do Hedge Fund Managers Flock Together?

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2024
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Plazzi, Alberto
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https://doi.org/10.1287/mnsc.2023.4843
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Management Science. Institute for Operations Research and the Management Sciences (INFORMS). 2024, 70(5), pp. 2976-2998. ISSN 0025-1909. eISSN 1526-5501. Available under: doi: 10.1287/mnsc.2023.4843
Zusammenfassung

Mandatory filings for UK hedge funds suggest that managers having worked at the same prior employer invest more similarly in terms of distances of returns. If they overlapped in employment, increasing the chance of social ties, investments become even more similar. The joint effect accounts for up to two thirds of the difference in investing behavior. Results are robust to fund- and manager-level controls as well as to identification concerns. With controls, the same-employer effect is concentrated in the systematic component (beta), whereas the overlap effect is concentrated in the idiosyncratic components (alpha and residuals). Managerial ties make any two funds more similar in their stock holdings. Moreover, portfolios of connected funds outperform their peers in terms of alpha, return volatility, and Sharpe ratio.

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ISO 690GERRITZEN, Marc, Jens JACKWERTH, Alberto PLAZZI, 2024. Birds of a Feather : Do Hedge Fund Managers Flock Together?. In: Management Science. Institute for Operations Research and the Management Sciences (INFORMS). 2024, 70(5), pp. 2976-2998. ISSN 0025-1909. eISSN 1526-5501. Available under: doi: 10.1287/mnsc.2023.4843
BibTex
@article{Gerritzen2024-05Birds-67965,
  year={2024},
  doi={10.1287/mnsc.2023.4843},
  title={Birds of a Feather : Do Hedge Fund Managers Flock Together?},
  number={5},
  volume={70},
  issn={0025-1909},
  journal={Management Science},
  pages={2976--2998},
  author={Gerritzen, Marc and Jackwerth, Jens and Plazzi, Alberto}
}
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