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dc.contributor.authorCao, Charles
dc.contributor.authorFarnsworth, Grant
dc.contributor.authorLiang, Bing
dc.contributor.authorLo, Andrew W
dc.date.accessioned2020-11-13T18:35:41Z
dc.date.available2020-11-13T18:35:41Z
dc.date.issued2016-04
dc.date.submitted2014-11
dc.identifier.issn0025-1909
dc.identifier.issn1526-5501
dc.identifier.urihttps://hdl.handle.net/1721.1/128478
dc.description.abstractWe use a new hedge fund data set from a separate account platform to examine (1) how much of hedge fund return smoothing is due to main fund-specific factors, such as managerial reporting discretion and (2) the costs of removing hedge fund share restrictions. These accounts trade pari passu with matching hedge funds but feature thirdparty reporting and permissive share restrictions. We use these properties to estimate that 33% of reported smoothing is due to managerial reporting methods. The platform's fund-level liquidity is associated with a 1.7% performance reduction on an annual basis. Investor flows chase monthly past performance on the platform but not in the associated funds.en_US
dc.publisherInstitute for Operations Research and the Management Sciences (INFORMS)en_US
dc.relation.isversionofhttp://dx.doi.org/10.1287/MNSC.2015.2401en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alikeen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/en_US
dc.sourceMIT web domainen_US
dc.titleReturn Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platformen_US
dc.typeArticleen_US
dc.identifier.citationCao, Charles et al. “Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform.” Management Science 63, 7 (July 2017): 2233–2250. © 2016 INFORMSen_US
dc.contributor.departmentSloan School of Managementen_US
dc.relation.journalManagement Scienceen_US
dc.eprint.versionOriginal manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/NonPeerRevieweden_US
dc.date.updated2019-02-22T16:14:19Z
dspace.orderedauthorsCao, Charles; Farnsworth, Grant; Liang, Bing; Lo, Andrew W.en_US
dspace.embargo.termsNen_US
dspace.date.submission2019-04-04T15:16:11Z
mit.licenseOPEN_ACCESS_POLICYen_US


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