High-Water Marks and Hedge Fund Management Contracts

By Will Goetzmann, Jonathan E. Ingersoll, Stephen A. Ross. 2001

532 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/3e0c3f0d45188bd37cc83546a235454b39ce9835

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Citations in the corpus

The Geography of Hedge Funds (2009, background): “13 Goetzmann, Ingersoll, and Ross (2003), Berk and Green (2004), and Fung, Hsieh, Naik, and Ramadorai (2008) may apply instead.”
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, unknown): “Agarwal, Daniel, and Naik (2004) find a convex performance-flow relation, while Goetzmann, Ingersoll, and Ross (2003) and Baquero and Verbeek (2005) find concave and linear relations, respectively.”
Rankings and Risk-Taking in the Finance Industry (2018, unknown): “Our results are supported by studies on fund manager performance showing that it is generally the poorly performing fund managers who boost risk over the next evaluation period (e.g., Brown et al., 1996; Goetzmann et al., 2003).”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “Theoretical work by Campbell, Grossman, and Wang (1993), Gromb and Vayanos (2002), Shin and Morris (2004) and others, suggest that when funds take on excessive liquidity risk, capital shocks from investors may translate into short-term prices changes for the underlying assets held by the same funds.”
Optimal Asset Allocation and Risk Shifting in Money Management (2007, unknown): “Brennan (1993), Cuoco and Kaniel (2003), and Gomez and Zapatero (2003) study equilibrium asset prices in an economy with agents compensated on the basis of their performance relative to a benchmark, and Arora and Ou-Yang (2006) study a fund manager’s career concerns problem.”
Calibrated Incentive Contracts (2013, unknown): “Using Goetzmann et al. (2003)’s valuation of highwatermark contracts as ongoing options, Panageas and Westerfield (2009) show in a specific environment that high-watermark contracts do not necessarily lead to ex- 2Specifically, consumption can be arbitrarily delayed and managers can save on their…”
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “…age, and domicile, we mainly focus on a fund manager’s incentives and discretion, both of which have been shown to be related to the risk-taking behavior of fund managers (Brown, Goetzmann, and Park, 2001; Goetzmann, Ingersoll, and Ross, 2003; Hodder and Jackwerth, 2007; Aragon and Nanda, 2012).”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, unknown): “We define fund investment styles by clustering historic returns using a procedure similar to that in Brown and Goetzmann (1997, 2003).”