Publication Type
Journal Article
Version
submittedVersion
Publication Date
12-2016
Abstract
We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.
Keywords
Hedge funds, Limited attention, Marriage, Divorce, Disposition effect
Discipline
Finance and Financial Management | Human Resources Management | Portfolio and Security Analysis
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
Citation
LU, Yan; RAY, Sugata; and TEO, Melvyn.
Limited attention, marital events and hedge funds. (2016). Journal of Financial Economics. 122, (3), 607-624.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5073
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jfineco.2016.09.004
Included in
Finance and Financial Management Commons, Human Resources Management Commons, Portfolio and Security Analysis Commons