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Information Spillovers and Performance Persistence for Hedge Funds

Vincent Glode

出版	SSRN, 2011
URL	http://books.google.com.hk/books?id=QKXnzgEACAAJ&hl=&source=gbs_api

註釋

We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or an emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition in the sector if informed investors were to partner with nonincumbent managers, incumbent managers will let informed investors benefit from increases in estimated profitability following high returns realized with the trading strategy or in the sector.