Brown, Gregory W.
[VerfasserIn]
;
Gredil, Oleg
[Sonstige Person, Familie und Körperschaft];
Kantak, Preetesh
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 4, 2019 erstellt
Beschreibung:
We propose and test a framework of private information acquisition and decision timing for asset allocators hiring outside investment managers. Using unique data on due diligence interactions between an allocator and 860 hedge funds, we find that the production of private information complements (substitutes) public information at the intensive (extensive) margin. Our allocator strategically chooses the precision at which to acquire private signals, reducing due diligence time by 58% and improving outcomes. Selected funds outperform unselected funds by 9.0% over 20 months. This outperformance is related to the allocator learning about fund return-to-scale constraints and manager skill before other investors