Role of Managerial Incentives and Discretion in Hedge Fund Performance

被引：201

作者：

Agarwal, Vikas ^{[1
,2
]}

Daniel, Naveen D. ^{[3
]}

Naik, Narayan Y. ^{[4
]}

机构：

[1] Georgia State Univ, Atlanta, GA 30303 USA

[2] Univ Cologne, Ctr Financial Res, D-5000 Cologne 41, Germany

[3] Drexel Univ, Philadelphia, PA 19104 USA

[4] London Business Sch, London, England

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 05期

关键词：

ASSET FIRE SALES; HIGH-WATER MARKS; AGENCY PROBLEMS; STOCK-OPTIONS; RISK; COMPENSATION; MANAGEMENT; OWNERSHIP; RETURN; STRATEGIES;

D O I：

10.1111/j.1540-6261.2009.01499.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performance. The incentive fee percentage rate by itself does not explain performance. We also find that funds with a higher degree of managerial discretion, proxied by longer lockup, notice, and redemption periods, deliver superior performance. These results are robust to using alternative performance measures and controlling for different data-related biases.

引用

页码：2221 / 2256

页数：36

共 64 条

[1] The performance of hedge funds: Risk, return, and incentives [J].