Chinese
Sign up to our newsletter for the latest news,updates and offers

News

​Professor Zhang Huacheng Published Article in Famous International Journal Management Science

Professor Zhang Huacheng from the Institute of Financial Studies of SWUFE published a paper titled Hedge Fund Manager Skill and Style-Shifting in the famous international journal Management Science, co-authored with Professor George J. Jiang from Washington State University and Professor Bing Liang from the University of Massachusetts Amherst.


Abstract:

Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles.


Article link: https://pubsonline.informs.org/doi/10.1287/mnsc.2020.3945





close

date:2021/10/13

SWUFE News