NDLI: Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

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Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Content Provider	Scilit
Author	Kruttli, Mathias S. Monin, Phillip J. Watugala, Sumudu W.
Copyright Year	2017
Description	Journal: SSRN Electronic Journal We show that when only a few investors own a substantial portion of a hedge fund's net asset value, flow volatility increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we confirm that high investor concentration hedge funds experience more volatile flows. These hedge funds hold more cash and liquid assets, which help absorb large, unexpected outflows. Such funds have to pay a liquidity premium and generate lower risk-adjusted returns. Investor concentration does not affect flow-performance sensitivity. These results are robust to including lock-up and redemption periods, strategy, manager ownership, and other controls.
Related Links	https://www.federalreserve.gov/econres/feds/files/2017121pap.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3091191
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3091191
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-12-15
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Hedge Funds Investor Concentration Precautionary Cash Portfolio Liquidity
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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