Regulatory Induced Performance Persistence: Evidence from Hedge Funds

36 Pages Posted: 20 Nov 2010 Last revised: 3 Jun 2012

See all articles by Douglas J. Cumming

Douglas J. Cumming

Florida Atlantic University

Na Dai

SUNY at Albany - School of Business

Lars Helge Hass

Lancaster University - Management School

Denis Schweizer

Concordia University

Multiple version iconThere are 2 versions of this paper

Date Written: November 17, 2010

Abstract

This paper tests the idea that financial regulation can impact performance persistence in the context of the hedge fund industry in 48 countries over the years 1994-2008. The data show evidence of three types of regulation influencing performance persistence: (1) minimum capital restrictions, which restrict lower quality funds and hence increase the likelihood of performance persistence, (2) restrictions on location of key service providers, which restrict human capital choices and hence tend to mitigate performance persistence, and (3) distribution channels, which make fund performance more opaque, decrease the likelihood of performance persistence. We do not find evidence that distribution channels, that promote fund presence to institutional investors, enhance performance persistence. Finally, we show differences in the effect of regulation on persistence by fund quartile ranking.

Keywords: Performance Persistence, Law and Finance, Hedge Funds

JEL Classification: G23, G24, G28, K22, M43

Suggested Citation

Cumming, Douglas J. and Dai, Na and Hass, Lars Helge and Schweizer, Denis, Regulatory Induced Performance Persistence: Evidence from Hedge Funds (November 17, 2010). Available at SSRN: https://ssrn.com/abstract=1710786 or http://dx.doi.org/10.2139/ssrn.1710786

Douglas J. Cumming (Contact Author)

Florida Atlantic University ( email )

777 Glades Rd
Boca Raton, FL 33431
United States

HOME PAGE: http://booksite.elsevier.com/9780124095373/

Na Dai

SUNY at Albany - School of Business ( email )

1400 Washington Ave.
Albany, NY 12222
United States

Lars Helge Hass

Lancaster University - Management School ( email )

Bailrigg
Lancaster, LA1 4YX
United Kingdom

Denis Schweizer

Concordia University ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada
+1 (514) 848-2424 ext. 2926 (Phone)
+1 (514) 848-4500 (Fax)

HOME PAGE: http://www.concordia.ca/jmsb/faculty/denis-schweizer.html

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