A Law and Finance Analysis of Hedge Funds

Financial Management

Volumn 39, Issue 3, 2010, Pages 997-1026

  Cumming, Douglas ^a   Dai, Na ^b  

^a YORK UNIVERSITY   (Canada)

^b STATE UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77958569111     PISSN: 00463892     EISSN: 1755053X     Source Type: Journal    
DOI: 10.1111/j.1755-053X.2010.01102.x     Document Type: Article

References (64)

1. Ackermann, C., R. McEnally, and D. Ravenscraft, 1999, "The Performance of Hedge Funds: Risk, Return and Incentives, "Journal of Finance 54, 833-874.
2. Agarwal, V., N. Daniel, and N.Y. Naik, 2006, "Flows, Performance, and Managerial Incentives in the Hedge Fund Industry, "London Business School Working Paper.
3. Agarwal, V., N. Daniel, and N. Naik, 2009, "Role of Managerial Incentives and Discretion in Hedge Fund Performance, "Journal of Finance 64, 2221-2256.
4. Agarwal, V. and N.Y. Naik, 2000a, "Multi-Period Performance Persistence Analysis of Hedge Funds, "Journal of Financial and Quantitative Analysis 35, 327-342.
5. Agarwal, V. and N.Y. Naik, 2000b, "On Taking the Alternative Route: Risks, Rewards and Performance Persistence of Hedge Funds, "Journal of Alternative Investments 2, 6-23.
6. Agarwal, V. and N.Y. Naik, 2004, "Risks and Portfolio Decisions Involving Hedge Funds, "Review of Financial Studies 17, 63-98.
7. Amin, G.S. and H.M. Kat, 2003, "Hedge Fund Performance 1990-2000: Do the 'Money Machines' Really Add Value? Journal of Financial & Quantitative Analysis 38, 251-274.
8. Aragon, G.O., 2007, "Share Restrictions and Asset Pricing: Evidence from the Hedge Fund Industry, "Journal of Financial Economics 83, 33-58.
9. Baghai-Wadji, R. and S. Klocker, 2007. "Performance and Style Shifts in the Hedge Fund Industry, "London Business School Working Paper.
10. Baquero, G., J.T. Horst, and M. Verbeek, 2005, "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance, "Journal of Financial & Quantitative Analysis 40, 493-517.
11. Bebchuk, L.A. and J.M. Fried, 2003, "Executive Compensation as an Agency Problem, "Journal of Economic Perspectives 17, 71-92.
12. Bollen, N.P.B. and V.K. Pool, 2009, "Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution, "Journal of Finance 64, 2257-2288.
13. Boyson, N.M, 2010, "Implicit Incentives and Reputational Herding by Hedge Fund Managers, "Journal of Empirical Finance 17, 283-299.
14. Brav, A., W. Jiang, F. Partnoy, and R. Thomas, 2008a, "Hedge Fund Activism, Governance and Firm Performance, "Journal of Finance 63, 1729-1775.
15. Brav, A., W. Jiang, F. Partnoy, and R. Thomas, 2008b, "The Returns to Hedge Fund Activism, "Financial Analysts Journal 64, 45-61.
16. Brown, S.J. and W.N. Goetzmann, 2003, "Hedge Funds with Style, "Journal of Portfolio Management 29, 101-112.
17. Brown, S.J., W.N. Goetzmann, and R.G. Ibbotson, 1999, "Offshore Hedge Funds: Survival and Performance 1989-1995, "Journal of Business 72, 91-117.
18. Brown, S.J., W.N. Goetzmann, B. Liang, and C. Schwarz, 2008, "Lessons from Hedge Fund Registration, "Journal of Finance 63, 2785-2815.
19. Brown, S.J., W.N. Goetzmann, and J. Park, 2001, "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry, "Journal of Finance 56, 1869-1886.
20. Brunnermeier, M.K. and S. Nagel, 2004, "Hedge Funds and the Technology Bubble, "Journal of Finance 59, 2013-2040.
21. Butler, M.G., C.M. Callahan, and R.E. Smith, 2007, "Human Resource Outsourcing: Performance of Service Providers, "AAA 2008 MAS Meeting Paper. Available at SSRN
22. Chevalier, J. and G. Ellison, 1997, "Risk Taking by Mutual Funds as a Response to Incentives, "Journal of Political Economy 105, 1167-1200.
23. Cremers, K., J. Martijn, and V. Nair, 2005, "Governance Mechanisms and Equity Prices, "Journal of Finance 60, 2859-2875.
24. Cumming, D. and N. Dai, 2008, "Hedge Fund Regulation and Misreported Returns, "European Financial Management, forthcoming.
25. Cumming, D. and N. Dai, 2009, "Capital Flows and Hedge Fund Regulation, "Journal of Empirical Legal Studies 6, 843-873.
26. Cumming, D. and S. Johan, 2008, "Hedge Fund Forum Shopping, "University of Pennsylvania Journal of Business and Employment Law 10, 783-831.
27. Ding, B., M. Getmansky, B. Liang, and R. Wermers, 2006, "Market Volatility, Investor Flows, and the Structure of Hedge Fund Markets, "University of Massachusetts Working Paper.
28. Edwards, F.R. and M.O. Caglayan, 2001, "Hedge Fund Performance and Manager Skill, "Journal of Futures Markets 21, 1003-1028.
29. Elton, E.J., M.J. Gruber, and C.R. Blake, 2003, "Incentive Fees and Mutual Funds, "Journal of Finance 58, 779-804.
30. Fung, W. and D.A. Hsieh, 1997, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds, "Review of Financial Studies 10, 275-302.
31. Fung, W. and D.A. Hsieh, 2000, "Performance Characteristics of Hedge Funds and CTA Funds: Natural versus Spurious Biases, "Journal of Financial and Quantitative Analysis 35, 291-307.
32. Fung, W. and D.A. Hsieh, 2001, "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers, "Review of Financial Studies 14, 313-341.
33. Fung, W. and D.A. Hsieh, 2004, "Hedge Fund Benchmarks: A Risk Based Approach, "Financial Analyst Journal 60, 65-80.
34. Fung, W. and D.A. Hsieh, 2006, "Hedge Funds: An Industry in Its Adolescence, "Federal Reserve Bank of Atlanta Economic Review (Fourth Quarter), 1-34.
35. Gerstein, K.S., 2006. "Hedge Fund Distribution: Regulatory Hot Buttons, "Schulte Roth & Zabel, LLP.
36. Getmansky, M., 2005, "The Life Cycle of Hedge Funds: Fund Flows, Size and Performance, "University of Massachusetts Working Paper.
37. Getmansky, M., A.W. Lo, and I. Makarov, 2004, "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, "Journal of Financial Economics 74, 529-609.
38. Goetzmann, W.N., J.E. Ingersoll, and S.A. Ross, 2003, "High-Water Marks and Hedge Fund Management Contracts, "Journal of Finance 58, 1685-1717.
39. Goetzmann, W.N., J.E. Ingersoll, M.I. Spiegel, and I. Welch, 2007, "Portfolio Performance Manipulation and Manipulation-Proof Performance Measures, "Review of Financial Studies 20, 1503-1546.
40. Gupta, A. and B. Liang, 2005, "Do Hedge Funds have Enough Capital? A Value-at-Risk Approach, "Journal of Financial Economics 77, 219-253.
41. Heckman, J., 1976, "The Common Structure of Statistical Models of Truncation, Sample Selection, and Limited Dependent Variables and a Simple Estimator for Such Models, "Annals of Economic and Social Measurement 5, 475-492.
42. Heckman, J., 1979, "Sample Selection Bias as a Specification Error, "Econometrica 47, 153-161.
43. Hodder, J.E. and J.C. Jackwerth, 2007, "Incentive Contracts and Hedge Fund Management, "Journal of Financial and Quantitative Analysis 42, 811-826.
44. Ineichen, A. and K. Silberstein, 2008, "AIMA's Roadmap to Hedge Funds, "Alternative Investment Management Association. Available at
45. International Financial Services, 2006, "Hedge Funds: City Business Services (March 2006)." Available at
46. Jorion, P., 2000, "Risk Management Lessons from Long-Term Capital Management, "European Financial Management 6, 277-300.
47. Khorana, A., H. Servaes, and P. Tufano, 2005, "Explaining the Size of the Mutual Fund Industry around the World, "Journal of Financial Economics 78, 145-185.
48. Khorana, A., H. Servaes, and P. Tufano, 2009, "Mutual Fund Fees around the World, "Review of Financial Studies 22, 1279-1310.
49. Klein, A. and E. Zur, 2009, "Entrepreneurial Shareholder Activism: Hedge Funds and Other Private Investors, "Journal of Finance 64, 187-229.
50. La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny, 1998, "Law and Finance, "Journal of Political Economy 106, 1113-1155.
51. La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny, 2002, "Investor Protection and Corporate Valuation, "Journal of Finance 57, 1147-1170.
52. La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny, 2006, "What Works in Securities Laws? Journal of Finance 61, 1-32.
53. Liang, B., 1999, "On the Performance of Hedge Funds, "Financial Analysts Journal 55, 72-85.
54. Liang, B., 2000, "Hedge Funds: The Living and the Dead, "Journal of Financial and Quantitative Analysis 35, 309-326.
55. Liang, B., 2003, "The Accuracy of Hedge Fund Returns, "Journal of Portfolio Management 29, 111-122.
56. Liang, B. and H. Park., 2008, "Share Restrictions, Liquidity Premium, and Offshore Hedge Funds, "University of Massachusetts, Amherst Working Paper.
57. Lo, A., 2006, "Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management, "Massachusetts Institute of Technology Working Paper.
58. Partnoy, F. and R.S. Thomas, 2007, "Gap Filling, Hedge Funds, and Financial Innovation, "in Y. Fuchita and R.E. Litan, Eds. Brookings-Nomura Papers on Financial Services, Washington, DC, Brookings Institution Press.
59. PriceWaterhouseCoopers, 2006, "The Regulation, Taxation and Distribution of Hedge Funds in Europe: Changes and Challenges, "London, UK, PriceWaterhouseCoopers.
60. PriceWaterhouseCoopers, 2007, "Under the Spotlight: The Regulation, Taxation and Distribution of Hedge Funds around the Globe, "London, UK, PriceWaterhouseCoopers.
61. Teo, M., 2009, "The Geography of Hedge Funds, "Review of Financial Studies 22, 3531-3561.
62. Verret, J.W., 2007, "Dr. Jones and the Raiders of Lost Capital: Hedge Fund Regulation, Part II, "Delaware Journal of Corporate Law 32, 799-841.
63. White, H., 1980, "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, "Econometrica 48, 817-838.
64. Wilson, R. 2007, Hedge Fund Blog Book. Available at