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.
Hedge funds, Limited attention, Marriage, Divorce, Disposition effect
Finance and Financial Management
Journal of Financial Economics
LU, Yan; RAY, Sugata; and TEO, Melvyn.
Limited attention, marital events and hedge funds. (2016). Journal of Financial Economics. 122, (3), 607-624. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5073
Copyright Owner and License
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.