Limited attention, marital events and hedge funds

Yan Lu, Sugata Ray and Melvyn Teo

Journal of Financial Economics, 2016, vol. 122, issue 3, 607-624

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 (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G23 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:122:y:2016:i:3:p:607-624

DOI: 10.1016/j.jfineco.2016.09.004

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