Abstract

http://ssrn.com/abstract=1081475
 
 

References (28)



 
 

Citations (10)



 


 



Aggregate Hedge Fund Flows and Asset Returns


Ashley Wang


Federal Reserve Board

Lu Zheng


University of California, Irvine - Paul Merage School of Business

March 2008


Abstract:     
Although several papers study the pattern of cash flows into individual hedge funds to examine how investors choose among different funds, little is known at the macro level about how hedge fund investors as a group respond to aggregate fund returns and market wide price movements. This paper analyzes the pattern in quarterly aggregate flows into the hedge fund sector from 1994 to 2007. We document several main results. First, we find a significant and positive relation between aggregate flows and past aggregate hedge fund returns, indicating that hedge fund investors as a group chase past aggregate performance. Second, we report a significant and positive relation between aggregate flows and contemporaneous aggregate hedge fund returns. Third, we find marginal evidence on a negative relation between aggregate fund flows and subsequent hedge fund returns, suggesting that hedge fund investors as a group are unable to successfully time hedge fund returns. We also find that investors put money into the hedge fund sector following high stock market returns and low returns on Treasury bills, while stock and bond market returns are not related to past aggregate hedge fund flows.

Number of Pages in PDF File: 37

JEL Classification: G10, G12

working papers series


Download This Paper

Date posted: January 10, 2008  

Suggested Citation

Wang, Ashley and Zheng, Lu, Aggregate Hedge Fund Flows and Asset Returns (March 2008). Available at SSRN: http://ssrn.com/abstract=1081475 or http://dx.doi.org/10.2139/ssrn.1081475

Contact Information

Ashley Wang (Contact Author)
Federal Reserve Board ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Lu Zheng
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
9498248365 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 900
Downloads: 258
Download Rank: 38,497
References:  28
Citations:  10

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.813 seconds