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Information spillovers and performance persistence for hedge funds

Information spillovers and performance persistence for hedge funds,10.1016/j.jfineco.2011.02.015,Journal of Financial Economics,Vincent Glode,Richard

Information spillovers and performance persistence for hedge funds  
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We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition if informed investors were to partner with non-incumbent managers, incumbent managers will let informed investors benefit from increases in estimated profitability following high returns realized with the trading strategy or in the sector.
Journal: Journal of Financial Economics - J FINAN ECON , vol. 101, no. 1, pp. 1-17, 2011
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