Skin or Skim? Inside Investment and Hedge Fund Performance

The authors thank Gustavo Manso (the editor), an associate editor, and two referees; Jules Van Binsbergen, Maria Chaderina, Quinn Curtis, Nickolay Gantchev, Qiping Huang, Clemens Sialm, Lin Sun, and Sumudu Watugala (discussants). The authors have also benefited from discussions with Simona Abis, Yakov Amihud, Charles Calomiris, Alan Crane, Kent Daniel, Colleen Honigsberg, Sabrina Howell, Wei Jiang, Ralph Koijen, Anthony Lynch, Stijn Van Nieuwerburgh, Tarun Ramadorai, Matthew Richardson, Paul Tetlock, James Weston, Jeffrey Wurgler, Chengdong Yin, and seminar participants at Berkeley (Haas), Columbia University (GSB), New York University (Stern), University of Pennsylvania (Wharton), Rice University (Jones), Yale University (SOM), National Bureau of Economic Research Long-Term Asset Management, the NASDAQ DRP Research Day, the 13th Annual Penn/NYU Conference on Law and Finance, International Risk Management Conference, the Center for Economic and Policy Research European Summer Symposium in International Macroeconomics conference in Gerzensee, the Junior Entrepreneurial Finance and Innovation Workshop, the Hedge Fund Research Symposium, the 10th Hedge Fund and Private Equity Conference, the University of Kentucky Finance Conference, Financial Intermediation Research Society, Midwest Finance Association, Northern Finance Association, Society for Financial Studies Cavalcade, Two Sigma, and Q Group; HFR, CISDM, eVestment, BarclayHedge, and Eurekahedge for data that contributed to this research; and Billy Xu and George Du for excellent research assistance. See https://www.skinorskim.org for Form ADV data used in this paper.