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Structural holes and hedge fund return comovement: evidence from network‐connected stock hedge funds in China
Author(s) -
Li Lu,
Li Yang,
Wang Xueding,
Xiao Tusheng
Publication year - 2020
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12537
Subject(s) - hedge fund , china , business , stock (firearms) , financial economics , monetary economics , economics , econometrics , finance , mechanical engineering , political science , law , engineering
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.