Three Essays On Hedge Funds And Distress Risk

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Three Essays on Hedge Funds and Distress Risk

Author : Jung-Min Kim
Publisher :
ISBN 13 :
Total Pages : 169 pages
Book Rating : 4.:/5 (696 download)

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Book Synopsis Three Essays on Hedge Funds and Distress Risk by : Jung-Min Kim

Download or read book Three Essays on Hedge Funds and Distress Risk written by Jung-Min Kim and published by . This book was released on 2010 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Three Essays on the Risk of Hedge Funds

Author : Hyuna Park
Publisher : ProQuest
ISBN 13 : 9780549194774
Total Pages : 138 pages
Book Rating : 4.1/5 (947 download)

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Book Synopsis Three Essays on the Risk of Hedge Funds by : Hyuna Park

Download or read book Three Essays on the Risk of Hedge Funds written by Hyuna Park and published by ProQuest. This book was released on 2000 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Funds

Author : Liping Qiu
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.:/5 (93 download)

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Book Synopsis Three Essays on Hedge Funds by : Liping Qiu

Download or read book Three Essays on Hedge Funds written by Liping Qiu and published by . This book was released on 2014 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Essay 1, we find that, on average, hedge funds decrease leverage prior to the beginning of the financial crisis, with leverage remaining below the pre-crisis levels. We also find that younger funds with lower current leverage and stricter fund governance are more likely to increase leverage following favorable performance; funds exposed to higher risk, higher management fee and higher current leverage tend to delever. Managers increase leverage in order to enhance future performance following superior returns only to be disappointed. We find mixed evidence on the performance difference between levered and unlevered funds, but levered funds do survive longer. In essays 2, we find that the presence of the management companies in their investment region is the most important source of the risk-adjusted performance. The funds with a presence in their investment region outperform other funds by 4.2 % per year. On average, 18% of the emerging market hedge funds have delivered positive and statistically significant alpha. Funds producing significant alphas experience greater capital inflows than the remainder. Have-alpha funds that experience high investor inflows do not have higher probabilities of being classified as beta-only funds nor have worse risk-adjusted returns in the future. In essay 3, we find that historical returns are routinely revised. About two-thirds of the hedge funds in our sample have revised their previously reported performance. On average, more than one-fifth of monthly returns were revised after being first reported. We find that positive revisions significantly outnumber negative revisions to returns of December. We also find an obvious decreasing time trend in both the number and proportion of return revisions, even after adjusting for performance report recency. We find a strong connection between return revisions and desirable fund characteristics such as strong fund governance at the overall fund level, the individual fund level, and the individual revision level. The revised funds outperform unrevised funds after revisions. Our findings suggest that correction may be a plausible explanation for the return revisions in hedge fund performance report. We have not found direct evidence that hedge fund managers manipulate returns.

Three Essays on Hedge Funds Characteristics, Performance, Risk and Managerial Incentives

Author : Ying Li
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (769 download)

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Book Synopsis Three Essays on Hedge Funds Characteristics, Performance, Risk and Managerial Incentives by : Ying Li

Download or read book Three Essays on Hedge Funds Characteristics, Performance, Risk and Managerial Incentives written by Ying Li and published by . This book was released on 2006 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Funds

Author : Minli Lian
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (97 download)

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Book Synopsis Three Essays on Hedge Funds by : Minli Lian

Download or read book Three Essays on Hedge Funds written by Minli Lian and published by . This book was released on 2012 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Three Essays on Hedge Fund Returns, Risk and Money Flows

Author : Serge Patrick Amvella Motaze
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.:/5 (78 download)

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Book Synopsis Three Essays on Hedge Fund Returns, Risk and Money Flows by : Serge Patrick Amvella Motaze

Download or read book Three Essays on Hedge Fund Returns, Risk and Money Flows written by Serge Patrick Amvella Motaze and published by . This book was released on 2010 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Political Risk, Economic Policy Uncertainty, and Hedge Fund Returns

Author : Pattamon Rungmaitree
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)

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Book Synopsis Three Essays on Political Risk, Economic Policy Uncertainty, and Hedge Fund Returns by : Pattamon Rungmaitree

Download or read book Three Essays on Political Risk, Economic Policy Uncertainty, and Hedge Fund Returns written by Pattamon Rungmaitree and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Fund Risk Taking, Hedge Fund Herding, and Audit Experts

Author : Achim Mattes
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (892 download)

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Book Synopsis Three Essays on Hedge Fund Risk Taking, Hedge Fund Herding, and Audit Experts by : Achim Mattes

Download or read book Three Essays on Hedge Fund Risk Taking, Hedge Fund Herding, and Audit Experts written by Achim Mattes and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Hedge Funds and Financial Stability

Author : Benjamin Klaus
Publisher :
ISBN 13 :
Total Pages : 121 pages
Book Rating : 4.:/5 (657 download)

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Book Synopsis Hedge Funds and Financial Stability by : Benjamin Klaus

Download or read book Hedge Funds and Financial Stability written by Benjamin Klaus and published by . This book was released on 2010 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Managing Hedge Fund Risk and Financing

Author : David P. Belmont
Publisher : John Wiley & Sons
ISBN 13 : 0470827262
Total Pages : 400 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Managing Hedge Fund Risk and Financing by : David P. Belmont

Download or read book Managing Hedge Fund Risk and Financing written by David P. Belmont and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.

Three Essays on Hedge Fund Trading and Stock Market

Author : Xinyu Cui
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Three Essays on Hedge Fund Trading and Stock Market by : Xinyu Cui

Download or read book Three Essays on Hedge Fund Trading and Stock Market written by Xinyu Cui and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Funds

Author : Anna Slavutskaya
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (892 download)

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Book Synopsis Three Essays on Hedge Funds by : Anna Slavutskaya

Download or read book Three Essays on Hedge Funds written by Anna Slavutskaya and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Fund Flows, Regulation, and Economic Geography

Author : Weifang Yang
Publisher :
ISBN 13 :
Total Pages : 222 pages
Book Rating : 4.:/5 (858 download)

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Book Synopsis Three Essays on Hedge Fund Flows, Regulation, and Economic Geography by : Weifang Yang

Download or read book Three Essays on Hedge Fund Flows, Regulation, and Economic Geography written by Weifang Yang and published by . This book was released on 2013 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Funds

Author : Marc Gerritzen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)

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Book Synopsis Three Essays on Hedge Funds by : Marc Gerritzen

Download or read book Three Essays on Hedge Funds written by Marc Gerritzen and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Hedge Funds

Author : Youhui Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (944 download)

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Book Synopsis Three Essays on Hedge Funds by : Youhui Zhang

Download or read book Three Essays on Hedge Funds written by Youhui Zhang and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters. The first two chapters focus on the Chinese hedge fund industry, and the third chapter focuses on American and offshore hedge funds. In the first chapter, I study the Chinese hedge fund industry during its earliest development from 2003 to 2013. I find that it outperforms the Chinese stock market over this period by about 200% in cumulative returns. I also find that different investment strategies lead to significant differences in a fund's performance, risk taking behavior, and return generating process, although no investment strategy demonstrates persistence in performance during this period. Moreover, I point out that for any research on survival issues of Chinese hedge funds, it is necessary to distinguish between dissolved funds according to why a fund stops reporting to a database. Chinese hedge funds are different from other hedge funds in the world because of their self-chosen disclosing mechanism, special legal structure, and constant policy changes. So in the second chapter, I investigate whether these special features affect the performance of Chinese hedge funds. I find strong evidence that better fund performance is associated with more frequent fund disclosure, higher complexity of trust companies and fund management companies, and slower speed of fund families in launching new funds. I also provide evidence that the new policy in July 2011, which allows trust companies to trade stock index futures, brings fundamental changes to the hedge fund industry, especially funds that focus on hedging techniques. The third chapter studies hedge funds and their service providers. By building a comprehensive numeric score of hedge funds' service providers, I study the relationship between hedge funds' use of service providers and funds' characteristics, performances, and investor flows. I find that using well-known service providers is associated with larger fund size, younger fund age, offshore domiciliation, better past performance, and smaller and less volatile cash flows from investors, and it can also predict better fund performance in the future. My results are robust across different fund sizes, investment strategies, and different levels of asset growth.

Three Essays on Hedge Funds and Asset Allocation with Higher Moments

Author : Kaifeng Chen
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (853 download)

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Book Synopsis Three Essays on Hedge Funds and Asset Allocation with Higher Moments by : Kaifeng Chen

Download or read book Three Essays on Hedge Funds and Asset Allocation with Higher Moments written by Kaifeng Chen and published by . This book was released on 2004 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Two Essays on Hedge Fund Risks and Returns

Author : Marvin Siepman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)

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Book Synopsis Two Essays on Hedge Fund Risks and Returns by : Marvin Siepman

Download or read book Two Essays on Hedge Fund Risks and Returns written by Marvin Siepman and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A frequently asked questions in the hedge fund literature is 'What are the systematic risk factors in hedge fund returns?". Existing efforts can be classified as 'bottom-up' or 'top-down', i.e. analysing specific styles of funds or taking a portfolio approach, respectively. In my first essay, I take a 'bottom-up' approach and analyse convertible arbitrage (CA) returns. The magnitudes of their reported returns suggest that there are severe inefficiencies in the pricing of convertible bonds. Alternatively, CA excess returns may be compensation for exposure to extraordinary events, i.e. market crashes, and may be related to systematic risk in a nonlinear way. To overcome database biases, statistical issues, the dynamic use of leverage, etc., I replicate three core CA strategies and show that these adequately represent real investor experiences. Panel regressions show that the replicated strategies have risk exposures that can be related to their construction. To overcome the limitations of a linear framework, I show that once crash risk is hedged with options while maintaining the same ex-ante exposure to crashes, excess returns are statistically indistinguishable from zero. CA therefore partly or fully represents compensation for systematic risk. In the second essay we take a 'top-down' approach and analyse whether accounting for nonlinear relationships between hedge funds and the market in the construction of a portfolio is beneficial for a myopic investor. We expand the classic mean-variance framework and dynamically optimise a portfolio based on time varying moments. Nonlinear relationships enter by allowing for different correlations conditional on market movement. We show that an investor is indeed better off in terms of risk and return if he accounts for correlation asymmetries. His portfolio returns are less negatively skewed, less kurtosed and have a lower turnover. The driving factor appears to be that less capital is allocated to non-directional, arbitrage-style hedge funds.