정보비대칭과 헤지펀드 매니저 초과성과보수 효과

[Purpose]This study classifies information asymmetry between hedge fund investors and manager into two types such as hidden fund characteristics and fund manager’s actions. At the same time, the study measures hidden fund characteristics by the first launched hedge fund and hidden fund manager’s actions by fund performance volatility. Then, the study investigates the moderating effects of the first launched hedge fund and fund performance volatility on the relationship between hedge fund manager’s excess performance fees and fund performance. [Methodology]Using Eurekahedge database from April 1994 to March 2016, we select 14,852 samples which include variables for the hedge fund characteristics used in this study. We set up multiple regression models to test the moderating effects of the first launched hedge fund and fund performance volatility on the association between hedge fund manager’s excess performance fees and fund performance. And we perform ordinary least square regression analysis to test the research models. [Findings]We find the evidence that hedge fund manager’s excess performance fees have significantly positive impacts on fund performance. Furthermore, the effect of the hedge fund manager’s excess performance fees on their performance is greater in the first launched funds than in the other ones. At the same time, the impact of the hedge funds' excess performance fees on fund performance is greater in the funds with highly volatile performance than in the other ones. [Policy Implications]By identifying the information asymmetry characteristics that make a difference in effects of hedge fund manager’s excess performance fees, this study presents an empirical basis for the factors to be considered in deciding hedge fund manager’s performance fees. Therefore, the test result of the study can be used as a basis for checking the validity of performance fee practices and designing effective performance compensation system for hedge fund managers.