Limited attention, marital events and hedge funds

We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event...

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Main Authors: LU, Yan, RAY, Sugata, TEO, Melvyn
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5073
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6072/viewcontent/LimitedAttentioMaritalEventsHedgeFunds_2016.pdf
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spelling sg-smu-ink.lkcsb_research-60722020-04-01T02:44:31Z Limited attention, marital events and hedge funds LU, Yan RAY, Sugata TEO, Melvyn We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect. 2016-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/5073 info:doi/10.1016/j.jfineco.2016.09.004 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6072/viewcontent/LimitedAttentioMaritalEventsHedgeFunds_2016.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Hedge funds Limited attention Marriage Divorce Disposition effect Finance and Financial Management Human Resources Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Hedge funds
Limited attention
Marriage
Divorce
Disposition effect
Finance and Financial Management
Human Resources Management
Portfolio and Security Analysis
spellingShingle Hedge funds
Limited attention
Marriage
Divorce
Disposition effect
Finance and Financial Management
Human Resources Management
Portfolio and Security Analysis
LU, Yan
RAY, Sugata
TEO, Melvyn
Limited attention, marital events and hedge funds
description We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.
format text
author LU, Yan
RAY, Sugata
TEO, Melvyn
author_facet LU, Yan
RAY, Sugata
TEO, Melvyn
author_sort LU, Yan
title Limited attention, marital events and hedge funds
title_short Limited attention, marital events and hedge funds
title_full Limited attention, marital events and hedge funds
title_fullStr Limited attention, marital events and hedge funds
title_full_unstemmed Limited attention, marital events and hedge funds
title_sort limited attention, marital events and hedge funds
publisher Institutional Knowledge at Singapore Management University
publishDate 2016
url https://ink.library.smu.edu.sg/lkcsb_research/5073
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6072/viewcontent/LimitedAttentioMaritalEventsHedgeFunds_2016.pdf
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