Abstract

http://ssrn.com/abstract=2565749
 


 



Limited Attention, Marital Events, and Hedge Funds


Yan Lu


University of Central Florida

Sugata Ray


University of Florida - Warrington College of Business Administration

Melvyn Teo


Singapore Management University - Lee Kong Chian School of Business

March 14, 2016

Journal of Financial Economics (JFE), Forthcoming

Abstract:     
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.

Number of Pages in PDF File: 49

Keywords: Hedge Funds, Limited Attention, Behavioral Finance, Disposition Effect, Marriage, Divorce

JEL Classification: G12; G23; G14


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Date posted: February 18, 2015 ; Last revised: March 20, 2016

Suggested Citation

Lu, Yan and Ray, Sugata and Teo, Melvyn, Limited Attention, Marital Events, and Hedge Funds (March 14, 2016). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2565749 or http://dx.doi.org/10.2139/ssrn.2565749

Contact Information

Yan Lu
University of Central Florida ( email )
16015 Birchwood Way
Orlando, FL 32828
United States
Sugata Ray
University of Florida - Warrington College of Business Administration ( email )
Gainesville, FL 32611
United States
Melvyn Teo (Contact Author)
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore, 178899
Singapore
+65 6828 0735 (Phone)
+65 6822 0777 (Fax)

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