Publication Type

Journal Article

Version

Preprint

Publication Date

12-2016

Abstract

We explore the impact of limited attentionby analyzing the performance of hedge fund managers who are distracted bymarital events. We find that marriages and divorces are associated with significantlylower fund alpha, during the six-month period surrounding and the two-yearperiod after the event. Busy managers who manage multiple funds and who are notpart of a team are more affected by marital transitions. Inattentive managers placefewer active bets relative to their style peers, load more on index stocks, exhibithigher R-squareds with respect tosystematic factors, and are more prone to the disposition effect.

Keywords

Hedge funds, Limited attention, Marriage, Divorce, Disposition effect

Discipline

Finance and Financial Management

Research Areas

Finance

Publication

Journal of Financial Economics

Volume

122

Issue

3

First Page

607

Last Page

624

ISSN

0304-405X

Identifier

10.1016/j.jfineco.2016.09.004

Publisher

Elsevier

Embargo Period

12-1-2017

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.jfineco.2016.09.004

Available for download on Friday, December 01, 2017

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