메뉴 건너뛰기




Volumn 96, Issue 2, 2010, Pages 238-256

The performance of emerging hedge funds and managers

Author keywords

Emerging managers; Hedge funds; Incentives; Performance evaluation

Indexed keywords


EID: 77951204960     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2009.12.010     Document Type: Article
Times cited : (152)

References (29)
  • 1
    • 0009164330 scopus 로고    scopus 로고
    • The performance of hedge funds: risk, return, and incentives
    • Ackermann C., McEnally R., Ravenscraft D. The performance of hedge funds: risk, return, and incentives. Journal of Finance 1999, 54:833-874.
    • (1999) Journal of Finance , vol.54 , pp. 833-874
    • Ackermann, C.1    McEnally, R.2    Ravenscraft, D.3
  • 2
    • 68949192027 scopus 로고    scopus 로고
    • Role of managerial incentives and discretion in hedge fund performance
    • Agarwal V., Daniel N., Naik N. Role of managerial incentives and discretion in hedge fund performance. Journal of Finance 2009, 64:2221-2256.
    • (2009) Journal of Finance , vol.64 , pp. 2221-2256
    • Agarwal, V.1    Daniel, N.2    Naik, N.3
  • 3
    • 33947164683 scopus 로고    scopus 로고
    • Detecting performance persistence in fund managers: Book benchmark alpha analysis
    • Aggarwal R., Georgiev G., Pinato J. Detecting performance persistence in fund managers: Book benchmark alpha analysis. Journal of Portfolio Management 2007, 33:110-119.
    • (2007) Journal of Portfolio Management , vol.33 , pp. 110-119
    • Aggarwal, R.1    Georgiev, G.2    Pinato, J.3
  • 6
    • 12144279436 scopus 로고    scopus 로고
    • Mutual fund flows and performance in rational markets
    • Berk J., Green R. Mutual fund flows and performance in rational markets. Journal of Political Economy 2004, 112:1269-1294.
    • (2004) Journal of Political Economy , vol.112 , pp. 1269-1294
    • Berk, J.1    Green, R.2
  • 7
    • 77951205251 scopus 로고    scopus 로고
    • Hedge fund performance persistence: a new approach
    • Boyson N. Hedge fund performance persistence: a new approach. Financial Analysts Journal 2008, 64:27-44.
    • (2008) Financial Analysts Journal , vol.64 , pp. 27-44
    • Boyson, N.1
  • 9
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart M. On persistence in mutual fund performance. Journal of Finance 1997, 52:57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 10
    • 0033474511 scopus 로고    scopus 로고
    • Survivorship bias and attribution effects in measures of performance persistence
    • Carpenter J., Lynch A. Survivorship bias and attribution effects in measures of performance persistence. Journal of Financial Economics 1999, 54:337-374.
    • (1999) Journal of Financial Economics , vol.54 , pp. 337-374
    • Carpenter, J.1    Lynch, A.2
  • 11
    • 34547356418 scopus 로고    scopus 로고
    • Systemic risk and hedge funds
    • University of Chicago Press, M. Carey, R. Stulz (Eds.)
    • Chan N., Getmansky M., Haas S., Lo A. Systemic risk and hedge funds. The Risks of Financial Institutions 2007, 235-338. University of Chicago Press. M. Carey, R. Stulz (Eds.).
    • (2007) The Risks of Financial Institutions , pp. 235-338
    • Chan, N.1    Getmansky, M.2    Haas, S.3    Lo, A.4
  • 12
    • 16244404602 scopus 로고    scopus 로고
    • Does fund size erode mutual fund performance? The role of liquidity and organization
    • Chen J., Hong H., Huang M., Kubik J. Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review 2004, 94:1276-1302.
    • (2004) American Economic Review , vol.94 , pp. 1276-1302
    • Chen, J.1    Hong, H.2    Huang, M.3    Kubik, J.4
  • 14
    • 77951208213 scopus 로고    scopus 로고
    • The incubation bias. Working Paper, University of Virginia.
    • Evans, R., 2007. The incubation bias. Working Paper, University of Virginia.
    • (2007)
    • Evans, R.1
  • 15
    • 0034416371 scopus 로고    scopus 로고
    • Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases
    • Fung W., Hsieh D. Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. Journal of Financial and Quantitative Analysis 2000, 35:291-307.
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 291-307
    • Fung, W.1    Hsieh, D.2
  • 16
    • 7444249771 scopus 로고    scopus 로고
    • Hedge fund benchmarks: a risk-based approach
    • Fung W., Hsieh D. Hedge fund benchmarks: a risk-based approach. Financial Analysts Journal 2004, 60:65-80.
    • (2004) Financial Analysts Journal , vol.60 , pp. 65-80
    • Fung, W.1    Hsieh, D.2
  • 17
    • 7744243971 scopus 로고    scopus 로고
    • An econometric model of serial correlation and illiquidity in hedge fund returns
    • Getmansky M., Lo A., Makarov I. An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics 2004, 74:529-609.
    • (2004) Journal of Financial Economics , vol.74 , pp. 529-609
    • Getmansky, M.1    Lo, A.2    Makarov, I.3
  • 18
    • 0142157061 scopus 로고    scopus 로고
    • High-water marks and hedge fund management contracts
    • Goetzmann W., Ingersoll J., Ross S. High-water marks and hedge fund management contracts. Journal of Finance 2003, 58:1685-1717.
    • (2003) Journal of Finance , vol.58 , pp. 1685-1717
    • Goetzmann, W.1    Ingersoll, J.2    Ross, S.3
  • 19
    • 0001264756 scopus 로고
    • Mutual fund performance: an analysis of quarterly portfolio holdings
    • Grinblatt M., Titman S. Mutual fund performance: an analysis of quarterly portfolio holdings. Journal of Business 1989, 62:393-416.
    • (1989) Journal of Business , vol.62 , pp. 393-416
    • Grinblatt, M.1    Titman, S.2
  • 20
    • 77951207728 scopus 로고    scopus 로고
    • HFR, Hedge Fund Research Inc., Chicago, IL
    • HFR Global Industry Report 2008, HFR, Hedge Fund Research Inc., Chicago, IL.
    • (2008) HFR Global Industry Report
  • 21
    • 77951204419 scopus 로고    scopus 로고
    • The young ones. Alternative Investment Management Association Newsletter, June.
    • Howell, M., 2001. The young ones. Alternative Investment Management Association Newsletter, June.
    • (2001)
    • Howell, M.1
  • 22
    • 74249118307 scopus 로고    scopus 로고
    • Do hot hands persist among hedge fund managers? An empirical evaluation. Journal of Finance, 65, 217-255.
    • Jagannathan, R., Malakhov, A., Novikov, D., 2010. Do hot hands persist among hedge fund managers? An empirical evaluation. Journal of Finance, 65, 217-255.
    • (2010)
    • Jagannathan, R.1    Malakhov, A.2    Novikov, D.3
  • 23
    • 44649197264 scopus 로고
    • Theory of the firm: Managerial behavior, agency costs and ownership structure
    • Jensen M., Meckling W. Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics 1976, 3:305-360.
    • (1976) Journal of Financial Economics , vol.3 , pp. 305-360
    • Jensen, M.1    Meckling, W.2
  • 24
    • 70350172325 scopus 로고    scopus 로고
    • Examination of fund age and size and its impact on hedge fund performance
    • Jones M. Examination of fund age and size and its impact on hedge fund performance. Derivatives Use, Trading and Regulation 2007, 12:342-350.
    • (2007) Derivatives Use, Trading and Regulation , vol.12 , pp. 342-350
    • Jones, M.1
  • 25
    • 77951206400 scopus 로고    scopus 로고
    • Managers' investment secrets revealed. Morningstar Working Paper.
    • Kinnel, R., 2008. Managers' investment secrets revealed. Morningstar Working Paper.
    • (2008)
    • Kinnel, R.1
  • 26
    • 33947501244 scopus 로고    scopus 로고
    • Do hedge funds deliver alpha? A Bayesian and bootstrap analysis
    • Kosowski R., Naik N., Teo M. Do hedge funds deliver alpha? A Bayesian and bootstrap analysis. Journal of Financial Economics 2007, 84:229-264.
    • (2007) Journal of Financial Economics , vol.84 , pp. 229-264
    • Kosowski, R.1    Naik, N.2    Teo, M.3
  • 28
    • 67849095306 scopus 로고    scopus 로고
    • Incentives and mutual fund performance: higher performance or just higher risk taking?
    • Massa M., Patgiri R. Incentives and mutual fund performance: higher performance or just higher risk taking?. Review of Financial Studies 2009, 22:1777-1815.
    • (2009) Review of Financial Studies , vol.22 , pp. 1777-1815
    • Massa, M.1    Patgiri, R.2
  • 29
    • 0038185576 scopus 로고    scopus 로고
    • Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses
    • Wermers R. Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. Journal of Finance 2000, 55:1655-1695.
    • (2000) Journal of Finance , vol.55 , pp. 1655-1695
    • Wermers, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.