Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

Clemens Sialm · Zheng Sun · Zheng Kui Lu

32 citations0/0 files storedNational Bureau of Economic Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Private Equity and Venture Capital

Abstract

This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance.We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of funds with a stronger local bias exhibit superior performance.However, this local bias of funds of funds adversely impacts the hedge funds by creating excess comovement and local contagion.Overall, our results suggest that while local funds of funds benefit from local performance advantages, their local bias creates market segmentation that could destabilize financial markets.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 32 citations exist upstream.

References

2003Liquidity Risk and Expected Stock Returns 2008Market Liquidity and Funding Liquidity 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks 1991Investor Diversification and International Equity Markets 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2001The Geography of Investment: Informed Trading and Asset Prices 2005Asset Fire Sales (and Purchases) in Equity Markets

Cited by

2012The Value of Funds of Hedge Funds: Evidence from Their Holdings 2015Efficiently Inefficient Markets for Assets and Asset Management 2018Cross-Asset Information Synergy in Mutual Fund Families

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.