헤지펀드 성과보수 결정요인에 관한 연구

This study investigates the determinants of hedge fund performance fees from the agency theory perspectives. By using Eurekahedge Database from April 1994 to March 2016, we examine the effect of 1) interest alignments risk between investors and hedge fund manger, 2) performance fee conditions, and 3) hedge fund mangers’ effort inputs on the performance fees. The main results are as follows. First, we find that the use of leverage and liquidity period, both of which are relevant to interest alignment risk between investors and hedge fund mangers, increases the performance fees. It implies that the higher the interest alignment risk coming from fund management complexities and difficulties is, the higher the performance fees are. Second, we find that the use of high water mark and hurdle rates, both of which are relevant to performance fee conditions, increases performance fees. It implies that the stronger the performance fee conditions are, the higher the performance fees are. Third, we find that flagship fund dummy, target return presentation, and new fund of the hedge fund firms, all of which are relevant to hedge fund mangers’ effort inputs, increase the performance fees. It implies that the larger the hedge fund mangers’ effort input is, the higher the performance fees are. We believe this study has high validity, as we utilize very extensive hedge fund database set with long history. Also, we expand the exiting studies by introducing new variables such as flagship fund and target returns, both of which have not been considered in previous studies.