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Structural holes and hedge fund return comovement: evidence from network-connected stock hedge funds in China |
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| Authors: | Lu Li Yang Li Xueding Wang Tusheng Xiao |
| Institution: | 1. School of Economics and Finance, Shanghai International Studies University, Shanghai, China
China Hedge Fund Research Center, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, China;2. School of Economics and Finance, Shanghai International Studies University, Shanghai, China;3. School of Accountancy, Shanghai University of Finance and Economics, Shanghai, China;4. School of Accountancy, Central University of Finance and Economics, Beijing, China |
| Abstract: | Using data from a new hedge fund database, we examine the impact of social networks on the return comovement of stock hedge funds in China. We use structural holes in the college alumni networks of managers to measure the managers’ social network positions. We perform an empirical analysis on a sample of 3,012 hedge fund products in China from 2010 to 2017. We find that greater structural holes are associated with higher return comovement. The positive impact of the structural holes on return comovement is not affected by market cycles, a manager's major in college, or his or her abilities. |
| Keywords: | College alumni networks Hedge fund managers Return comovement Structural holes |