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Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas
16 references·8 citing·42 second hopsampled
Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas (2014)Incentives and Endogenous Risk Taking: A …Equilibrium prices in the presence of delegated portfolio management (2011)Equilibrium prices in the pre…Behavioral biases of mutual fund investors (2011)Behavioral biases of mutual f…Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Role of Managerial Incentives…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Do hedge funds deliver alpha?…Why constrain your mutual fund manager? (2004)Why constrain your mutual fun…What Determines Chinese Stock Returns? (2004)What Determines Chinese Stock…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…High‐Water Marks and Hedge Fund Management Contracts (2003)High‐Water Marks and Hedge Fu…Does Option Compensation Increase Managerial Risk Appetite? (2000)Does Option Compensation Incr…How Are Derivatives Used? Evidence from the Mutual Fund Industry (1999)How Are Derivatives Used? Evi…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Speculation, Sentiment, and Interest Rates (2021)Speculation, Sentiment, and I…Venture Capital Contracts (2019)Venture Capital ContractsPredicting hedge fund performance when fund returns are skewed (2019)Predicting hedge fund perform…Riding the Bubble with Convex Incentives (2018)Riding the Bubble with Convex…The effect of shareholder activism on bondholders and stockholders (2017)The effect of shareholder act…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Risk Choice under High-Water Marks (2014)Risk Choice under High-Water …EXPLORING THE RELATIONSHIP BETWEEN (2014)EXPLORING THE RELATIONSHIP BE…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Cross-Section of Expected Stock Returns (1992)Hedge Funds: Performance, Risk, and Capital Formation (2008)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Hedge Funds and the Technology Bubble (2004)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresTheory of the firm: Managerial behavior, agency costs and ownership structure (1976)Brownian Motion and Stochastic Calculus (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Option pricing when underlying stock returns are discontinuous (1976)Risk Taking by Mutual Funds as a Response to Incentives (1995)Do the Best Hedge Funds Hedge? (2010)Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)Separation of Ownership and Control (1983)Returns to Shareholder Activism: Evidence from a Clinical Study of the Hermes UK Focus Fund (2008)Returns to Shareholder Activism: Evidence from a Clinical Study of the Hermes UK Focus Fund (2010)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2000Does Option Compensation Increase Managerial Risk Appetite?926 cited
  • 2009Role of Managerial Incentives and Discretion in Hedge Fund Performance687 cited
  • 2003High‐Water Marks and Hedge Fund Management Contracts595 cited
  • 2007Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆594 cited
  • 2004Why constrain your mutual fund manager?569 cited
  • 2011Behavioral biases of mutual fund investors451 cited
  • 2004What Determines Chinese Stock Returns?446 cited
  • 1999How Are Derivatives Used? Evidence from the Mutual Fund Industry424 cited

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2011
Equilibrium prices in the presence of delegated portfolio management
308 cited

Cited by

  • 2014EXPLORING THE RELATIONSHIP BETWEEN98 cited
  • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
  • 2014Risk Choice under High-Water Marks49 cited
  • 2021Speculation, Sentiment, and Interest Rates41 cited
  • 2019Predicting hedge fund performance when fund returns are skewed35 cited
  • 2019Venture Capital Contracts23 cited
  • 2017The effect of shareholder activism on bondholders and stockholders22 cited
  • 2018Riding the Bubble with Convex Incentives21 cited