Name
Title | ||
|---|---|---|
Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform |
Abstract | ||
|---|---|---|
AbstractWe use a new hedge fund data set from a separate account platform to examine 1 how much of hedge fund return smoothing is due to main fund-specific factors, such as managerial reporting discretion and 2 the costs of removing hedge fund share restrictions. These accounts trade pari passu with matching hedge funds but feature third-party reporting and permissive share restrictions. We use these properties to estimate that 33% of reported smoothing is due to managerial reporting methods. The platform's fund-level liquidity is associated with a 1.7% performance reduction on an annual basis. Investor flows chase monthly past performance on the platform but not in the associated funds.This paper was accepted by Neng Wang, finance. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1287/mnsc.2015.2401 | Periodicals |
Keywords | Field | DocType |
hedge funds,separate accounts,return smoothing,share restrictions | Market liquidity,Economics,Hedge fund,Alternative beta,Open-end fund,Microeconomics,Smoothing,Hedge accounting,Discretion,Pari passu | Journal |
Volume | Issue | ISSN |
63 | 7 | 0025-1909 |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Charles Cao | 1 | 0 | 0.68 |
| Grant Farnsworth | 2 | 0 | 0.34 |
| Bing Liang | 3 | 2 | 0.97 |
| Andrew W. Lo | 4 | 68 | 33.01 |