Careers and Survival: Competition and Risk in the Hedge Fund and Cta Industry

By Stephen J. Brown, Will Goetzmann, James M. Park. 2001

472 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/69222542b239deb0bc70e00fa959bb50e4ac0539

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Citations in the corpus

Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, unknown): “The thorniest problem arises because hedge funds are not required to report their results and thus all existing evidence is based on self-reported data with attendant self-selection biases, e.g., Fung and Hsieh (1997b), Brown, Goetzmann, and Ibbotson (1999) and Brown, Goetzmann, and Park (2001).”
Hedge Funds: Risk and Return (2005, background): “Estimates of survivorship bias by Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (2001), Liang (2000, 2001), and Fung and Hsieh (1997) range from 60 bps to 360 bps a year for various hedge fund types.”
Are "Market Neutral" Hedge Funds Really Market Neutral? (2009, unknown): “µ r it − µi (rmt) σi (rmt) ¯ ¯ ¯ ¯ rmt ¶ = Va R µ r it − µi (rmt) σi (rmt) ¶ ( 12 )”
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).”
Hedge fund performance and persistence in bull and bear markets (2005, unknown): “On the other hand, the issue of persistence in performance is particularly important in the case of hedge funds because these funds experience a greater attrition rate than mutual funds (Brown et al , 1999 , 2001 ; Liang, 1999 ).”
The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, unknown): “Performance attribution and style analysis in hedge funds have been studied in the following papers: Agarwal and Naik (2000b, 2000c), Brown and Goetzmann (2003), Brown, Goetzmann and Ibbotson (1999), Brown, Goetzmann, and Park (2000, 2001a, 2001b), Fung 5 and Hsieh (1997), and Lochoff (2002).”
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “Our approach is also consistent with the observation in Brown, Goetzmann, and Park (2001) and Liang (2000) that hedge funds with low past performance are primary candidates for liquidation.”
Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry (2011, unknown): “Consistent with Brown et al. (2001), this study documents the existence of the risk-shifting practice in hedge funds, that is, changes in fund risks are negatively related to past performance.”
Has Finance Made the World Riskier (2006, background): “Brown et al. (2001) show that the probability of liquidation of hedge funds increases with increasing risk, while Chan et al. (2005) find that younger hedge funds tend to get liquidated significantly more often, suggesting they do take on more risk.”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “Competition among fund managers is well documented in investment practice for both mutual and hedge funds; see, for example, [1, 3, 11, 19, 22, 27, 37, 41, 52].”