Abstract

http://ssrn.com/abstract=2023851
 
 

References (33)



 
 

Citations (2)



 


 



Home Bias and Local Contagion: Evidence from Funds of Hedge Funds


Clemens Sialm


University of Texas at Austin - McCombs School of Business; Stanford University; National Bureau of Economic Research (NBER)

Zheng Sun


University of California, Irvine - Paul Merage School of Business

Lu Zheng


University of California, Irvine - Paul Merage School of Business

February 11, 2014

AFA 2013 San Diego Meetings Paper

Abstract:     
This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of hedge funds with a stronger local bias exhibit superior performance. However, this local bias of funds of funds adversely impacts the hedge funds by creating excess comovement and contagion within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias creates market segmentation that could destabilize financial markets.

Number of Pages in PDF File: 60

Keywords: Hedge Funds, Funds of Funds, Home Bias, Informational Advantage, Contagion, Comovement

JEL Classification: G01, G11, G23

working papers series


Download This Paper

Date posted: March 17, 2012 ; Last revised: February 12, 2014

Suggested Citation

Sialm, Clemens and Sun, Zheng and Zheng, Lu, Home Bias and Local Contagion: Evidence from Funds of Hedge Funds (February 11, 2014). AFA 2013 San Diego Meetings Paper. Available at SSRN: http://ssrn.com/abstract=2023851 or http://dx.doi.org/10.2139/ssrn.2023851

Contact Information

Clemens Sialm (Contact Author)
University of Texas at Austin - McCombs School of Business ( email )
Austin, TX 78712
United States
HOME PAGE: http://www.mccombs.utexas.edu/faculty/Clemens.Sialm/
Stanford University ( email )
Stanford, CA 94305
United States
650-723-2172 (Phone)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Zheng Sun
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
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: 303
Downloads: 74
Download Rank: 174,987
References:  33
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.672 seconds