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Author: Hyuna Park
Publisher: ProQuest
ISBN: 9780549194774
Category :
Languages : en
Pages : 138
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Author: Hyuna Park
Publisher: ProQuest
ISBN: 9780549194774
Category :
Languages : en
Pages : 138
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Book Description
Author: Christopher Schwarz
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
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The hedge fund industry and hedge fund related research have grown rapidly in the last decade. In 1990, hedge funds controlled an estimated $39 billion in assets. At the end of 2006, hedge funds had an estimated $1.72 trillion in assets under management. This dissertation consists of three essays exploring the hedge fund industry. In the first essay, I use the recent controversial and ultimately unsuccessful SEC attempt to increase hedge fund disclosure to examine the value of disclosure to investors. By examining SEC mandated disclosures filed by a large number of hedge funds in February 2006, I am able to construct a measure of operational risk distinct from market risk. Leverage and ownership structures as of December 2005 suggest that lenders and hedge fund equity investors were already aware of hedge fund operational risk characteristics. However, operational risk has no effect on the flow-performance relationship, suggesting that investors either lack this information, or they do not regard it as material. In the second essay, I examine hedge fund management and incentive fee structures and changes as well as the use of redemption fees. Overall, I find hedge funds' fee structures are related to their other fund characteristics in a manner consistent with the mutual fund area and previous fee theory. I observe management fees are negatively related to fund characteristics that lower administrative overhead and positively related to tax incentives. Incentive fees are positively correlated with return characteristics that raise the total values of managers' option-like incentive fee contracts. Hedge fund fee changes are found to be a function of pricing power and managers attempting to decrease investor demand in capacity constrained styles while redemption fees are used to protect managers against poor performance. Finally, funds of funds have positively associated incentive and management fees, which create a negative relationship between incentive fees and fund alphas. In the third essay, I examine if hedge fund managers close and reopen funds to investment to preserve performance. While my results show closed hedge funds do experience significantly lower flows, managers' and management companies' primary objective is to hoard assets. Hedge funds in capacity constrained styles do not close more often, do not close at lower relative asset levels and do not reopen at lower relative asset levels. Hedge funds reopen to investment to generate additional fees, not when funds are capable of generating out performance. These results suggest even high performance-pay deltas are not strong enough to overcome additional fees generated from larger amounts of assets. Other monitoring mechanisms are necessary to reduce agency costs for investors.
Author: Jung-Min Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 169
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The third essay studies the interaction between managed assets and share restrictions in the context of equity-oriented hedge funds. Small-cap/value oriented funds manage less liquid assets, take higher liquidity risk, and are more likely to use a lockup restriction than large-cap/growth oriented funds. Moreover, I find positive interaction effects of managed assets' illiquidity and share restrictions on fund performance. Small-cap/value funds with strong share restrictions outperform both small-cap/value funds with weak share restrictions and large-cap/growth funds with strong share restrictions. Empirical results suggest that the outperformance is mostly driven by two components: first, small-cap/value funds earn a higher risk premium from greater exposure to the SMB, HML, and liquidity risk factors, and second, strong share restrictions are helpful for small-cap/value funds by mitigating a fire-sale problem as these hedge funds suffer the most from low market liquidity.
Author: Ying Li
Publisher:
ISBN:
Category : Commodity trading advisors
Languages : en
Pages : 142
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Author: Zheyuan Hu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This dissertation is composed of three essays focusing on the study of hedge funds governance, operational risk and Exchange Traded Funds investment activities. The first essay titled "Operational Risk for Hedge Funds: The Chi-Score" utilizes Benford's law analysis to examine hedge funds behaviors. The second essay shifts the attention to the influence of local religious environments on hedge funds governance and operational behaviors. The third essay examines the influences of Exchange Traded Funds (ETF's) flows on stock prices, risk and other fundamental characteristics.
Author: Minli Lian
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 0
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Hedge funds are favoured by pension funds, institutional investors, and high wealth investors for their flexible investment trading strategies and possible diversification benefits with existing portfolios. The following three research papers help us understand certain hedge fund characteristics by examining fund performance and by making comparisons to other types of investments. The first essay investigates the relationship between hedge fund performance fees and risk adjusted returns. The paper introduces an "effort" variable and reasons that the performance of hedge funds and the payoff of the performance fee contract are endogenously determined by the fund manager's effort. The paper concludes that the performance fee contract aligns the interest of the fund manager and the investor, and creates a win-win risk sharing instead of a risk shifting situation. Empirically, we find that performance fees are positively associated with risk adjusted returns. The second essay examines the hedge fund tail risk in terms of the Value at Risk (VaR) and Expected Shortfall and compares these measures with those of mutual funds. It also studies the hedge fund tail risk dependence on the stock market index and VIX index as well as the phase-locking effect. The third essay studies the cross-sectional difference between hedge fund style indexes and industry portfolios. It also examines the diversification benefit of investing in a pool of hedge funds.
Author: Anna Slavutskaya
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Serge Patrick Amvella Motaze
Publisher:
ISBN:
Category :
Languages : en
Pages : 340
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Author: Marc Gerritzen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Achim Mattes
Publisher:
ISBN:
Category :
Languages : en
Pages :
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