Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
研究对冲基金中基金的地理偏好，发现它们偏爱本地基金且这种偏好带来更好业绩，但也导致资金流动同步和极端收益聚集，加剧市场分割和不稳定。
Abstract Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.