Responsible Hedge Funds*

被引：29

作者：

Liang, Hao ^{[1
]}

Sun, Lin ^{[2
]}

Teo, Melvyn ^{[1
]}

机构：

[1] Singapore Management Univ, Lee Kong Chian Sch Business, Singapore, Singapore

[2] Fudan Univ, Fanhai Int Sch Finance, Shanghai, Peoples R China

来源：

REVIEW OF FINANCE | 2022年 / 26卷 / 06期

关键词：

Keywords; Responsible investing; ESG; Agency problems; Incentive alignment; Greenwashing; Hedge funds; Sustainable finance; Stewardship; Principles for Responsible Investment; CORPORATE SOCIAL-RESPONSIBILITY; SHARE RESTRICTIONS; PERFORMANCE; RISK; RETURNS; HETEROSKEDASTICITY; PERSISTENCE; GOVERNANCE; IMPACT;

D O I：

10.1093/rof/rfac028

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Hedge funds that endorse the United Nations Principles for Responsible Investment (PRI) underperform other hedge funds after adjusting for risk but attract greater investor flows, accumulate more assets, and harvest greater fee revenues. Consistent with an agency explanation, the underperformance is driven by PRI signatories with low environmental, social, and governance (ESG) exposures and is greater for hedge funds with poor incentive alignment. To address endogeneity, we exploit regulatory reforms that enhance stewardship and show that the ESG exposure and relative performance of signatory funds improve post reforms. Our findings suggest that some hedge funds endorse responsible investment to pander to investor preferences.

引用

页码：1585 / 1633

页数：49

共 50 条

[21] Why Hedge Funds?
Brown, Stephen J.
[J]. FINANCIAL ANALYSTS JOURNAL, 2016, 72 (06) : 5 - 7
[22] Public hedge funds
Sun, Lin
Teo, Melvyn
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2019, 131 (01) : 44 - 60
[23] Synthetic hedge funds
Fischer, Mario
Hanauer, Matthias X.
Heigermoser, Robert
[J]. REVIEW OF FINANCIAL ECONOMICS, 2016, 29 : 12 - 22
[24] Hedge funds styles
Hsieh, DA
[J]. COMPUTATIONAL FINANCE 1999, 2000, : 359 - 367
[25] Hedging the Hedge Funds
Kadar, Robert
[J]. FORTUNE, 2009, 159 (08) : 10 - 10
[26] Of shoes and hedge funds
Berman, Phyllis
Coolidge, Carrie
[J]. FORBES, 2007, 179 (04): : 44 - 44
[27] Revolving doors: board memberships, hedge funds, and the FDA chiefs responsible for regulating industry
Doshi, Peter
[J]. BMJ-BRITISH MEDICAL JOURNAL, 2024, 385
[28] Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?
Brown, Stephen J.
Gregoriou, Greg N.
Pascalau, Razvan
[J]. REVIEW OF ASSET PRICING STUDIES, 2012, 2 (01): : 89 - 110
[29] Diversification Strategies and the Performance of Funds of Hedge Funds
Dai, Na
Shawky, Hany A.
[J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2012, 15 (02): : 75 - 85
[30] Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics
El Kalak, Izidin
Azevedo, Alcino
Hudson, Robert
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 48 : 55 - 66

← 1 2 3 4 5 →