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:

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.

Download or read book Three Essays on Hedge Fund Investments and Investment Banks written by Xiaohui Yang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on studying how investment banks affect hedge fund equity investments through acting as prime brokers for hedge funds. The first chapter studies how the relationships between hedge funds and investment banks are maintained through equity issuance and prime brokerage business. Using a comprehensive dataset of hedge funds and IPO allocations, I examine IPO allocation decisions by investment banks to hedge funds. I find that investment banks whose prime brokers have strong relationships with hedge funds and are lead underwriters of IPOs tend to allocate more IPOs to these hedge funds. Moreover, the allocation to hedge funds is larger when IPOs are underpriced, and the allocations are larger during bearish periods compared to bullish periods. I further document that hedge fund investments in IPOs are determined by the strength of hedge fund-prime broker relationships, rather than by hedge fund manager skills. I also find that hedge funds which have multiple prime brokers tend to invest in more IPOs. As a result, prime brokers implicitly support hedge funds through favorable IPO allocations. The second chapter finds that hedge funds can profit from anticipating upcoming changes in analysts' recommendations before they become public. I provide evidence supporting the hypothesis that hedge funds that have prime brokerage affiliations with analysts' investment banks have access to information on upcoming analysts' recommendations. Focusing on recommendations issued up to two days following stock holding report date, I find that large hedge funds that are clients of the investment bank (affiliated hedge funds) tend to buy upgrades and sell downgrades in a larger magnitude compared to other hedge funds before the public release of recommendations. Moreover, relative to non-affiliated hedge funds, affiliated hedge funds have a higher probability to trade in a way that is consistent with upcoming recommendation changes and earn higher (or avoid lower) short-term abnormal returns by buying (or selling) before upgrades (or downgrades). The results indicate that prime brokerage affiliation is an important source of private information on analysts' reports for hedge funds. The third chapter studies hedge funds' equity investment strategies by examining the investment value and risk consequence of their holdings concentration in large-cap and small-cap stocks. We find that stocks, especially small-cap ones, with concentrated hedge fund holdings earn higher future returns than those with less concentrated holdings. We also find that stocks with concentrated hedge fund holdings have higher downside risks, and the holdings concentration expedites the drop of stock performance, especially during financial crisis. In addition, small-cap stocks with higher holdings concentration are associated with hedge funds using higher leverage, consistent with Stein (2009) that deleverage leads to the negative return shock and downside risks in stocks. Our findings suggest that hedge fund managers are skilled in making equity investment under different market efficiency.

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.

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.

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.

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:

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:

Download or read book The Hedge Fund Mirage written by Simon A. Lack and published by John Wiley & Sons. This book was released on 2012-01-03 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dismal truth about hedge funds and how investors can get a greater share of the profits Shocking but true: if all the money that's ever been invested in hedge funds had been in treasury bills, the results would have been twice as good. Although hedge fund managers have earned some great fortunes, investors as a group have done quite poorly, particularly in recent years. Plagued by high fees, complex legal structures, poor disclosure, and return chasing, investors confront surprisingly meager results. Drawing on an insider's view of industry growth during the 1990s, a time when hedge fund investors did well in part because there were relatively few of them, The Hedge Fund Mirage chronicles the early days of hedge fund investing before institutions got into the game and goes on to describe the seeding business, a specialized area in which investors provide venture capital-type funding to promising but undiscovered hedge funds. Today's investors need to do better, and this book highlights the many subtle and not-so-subtle ways that the returns and risks are biased in favor of the hedge fund manager, and how investors and allocators can redress the imbalance. The surprising frequency of fraud, highlighted with several examples that the author was able to avoid through solid due diligence, industry contacts, and some luck Why new and emerging hedge fund managers are where generally better returns are to be found, because most capital invested is steered towards apparently safer but less profitable large, established funds rather than smaller managers that evoke the more profitable 1990s Hedge fund investors have had it hard in recent years, but The Hedge Fund Mirage is here to change that, by turning the tables on conventional wisdom and putting the hedge fund investor back on top.

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:

Download or read book Three Essays in Hedge Fund Activism written by Marco Elia and published by . This book was released on 2018 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay, I apply behavioral finance theories to hypothesize one reason why hedge funds choose to engage in activism. Specifically, I predict that if hedge funds see the purchase price of their passive positions as a reference point, then, when they are suffering absolute losses, they are more likely to switch and become activists. I find results consistent with my prediction, even after controlling for the underperformance of the target firms. This study presents new evidence about what causes hedge fund activism. The behavioral finance literature has documented that retail investors, professional traders, and mutual funds are reluctant to realize their losses. I contribute to this literature by showing that a further effect of the loss is to cause activism. The second essay (with Naveen D. Daniel) examines the short-term incentives that activists are facing. The average announcement return to hedge fund activism is around 5%. Thus, activists that want to inflate their reported returns have incentives to initiate activism in target firms before the end of the reporting period. Our contribution is to document that activists engage in such opportunistic activism. Consistent with this, we find that activists are more likely to start their campaigns just before the end of the quarter. This heightened activity cannot be explained by increased news flow at the end of the quarter. In contrast to the typical positive market reaction to activist initiation, reaction to opportunistic activism is virtually zero. This is suggestive of activists initiating campaigns without completing their research on firms, which were potentially targeted for activism in the following quarter. The final essay (with Naveen D. Daniel) investigates how activists are able to be successful despite typically owning a stake of 6-7% in the target firms. We hypothesize that activists have incentives to (implicitly) coordinate with other institutional shareholders and to use this collective firepower to force target firms to change. Our contribution is to document that such coordination is pervasive and is mutually beneficial. In nearly two-thirds of the campaigns, there is coordination between the activist and institutional investors. Coordination is more likely in large firms where the activists would not have sufficient capital to build a large stake. Activist hedge funds that coordinate with other institutional shareholders are more successful in their activism as reflected in higher abnormal returns over the duration of the campaign. We attribute causation by instrumenting for coordination with the geographic proximity between the activist and the institutional investors.

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:

Download or read book Three Essays on Hedge Funds written by Oliver Dietiker and published by . This book was released on 2010 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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:

Download or read book Three Essays in Finance written by Ye Wang and published by . This book was released on 2019 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: The rst chapter of my dissertation explores the roles "quants" or technically trained workers play at hedge funds. I quantify the impact of hiring "quants" on hedge fund strategy and risk taking by exploiting H-1B lottery results and a policy shock that signi cantly reduced the future supply of foreign high-skilled labor in the U.S. I nd that the H-1B visa program allows hedge funds to pursue strategies that are more quantitative (e.g., hedging, systematic trading, etc.) as opposed to fundamentals-based (e.g., event driven). Although there is evidence of substitution between fund strategies, I also nd that hedge funds overall become more diversi ed, both in terms of regional focus and fund investment style. Traditional theories on corporate nancial policy mostly focus on rm-speci c determinants and assume that capital structure choices are made independently of the actions of peer rms. The second chapter of my dissertation introduces a theoretical model that embodies the dynamic of how peer behavior a ects a rm's optimal choice of debt level. Speci cally, peer e ect is captured by a measure of how much the liquidation value of assets are adversely impacted if peer rms choose to liquidate simultaneously, the e ect of which is more prominent for industries with highly specialized assets - hence low asset redeployability. The theoretical model predicts that a rm's optional debt level is lower when the liquidation prices of its assets are expected to be more severely impacted by the concurrent liquidation of peer rms. Moreover, in those situations where peer rms' cash ows are more closely correlated, the optional debt level will be higher. Individual rms' attempts to maximize their own utility lead to an industry-wide over leverage, further exacerbating the risk of general crises in an already highly correlated industry. The third chapter of my dissertation explores the potential of using deep learning models to enhance equity trading strategies such as momentum and reversal trading. A deep feed forward neural network model (DFN) is fed with a training data set (1965-2000) that uses the rolling Z-scored cumulative returns of various horizons as predicative variables. With the model parameters generated by the training set, the model is applied to the validation set (2000-2016) to generate a signal for each stock predicting its likelihood of outperforming the cross-sectional medium. Based on this model-predicted signal, I have constructed an long-short investment portfolio out of the validation data set. The deep learning portfolios yield an annualized return of over 20 percent and generate signi cantly large alphas over commonly used factor models.

Download or read book Hedge Fund Market Wizards written by Jack D. Schwager and published by John Wiley & Sons. This book was released on 2012-04-25 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fascinating insights into the hedge fund traders who consistently outperform the markets, in their own words From bestselling author, investment expert, and Wall Street theoretician Jack Schwager comes a behind-the-scenes look at the world of hedge funds, from fifteen traders who've consistently beaten the markets. Exploring what makes a great trader a great trader, Hedge Fund Market Wizards breaks new ground, giving readers rare insight into the trading philosophy and successful methods employed by some of the most profitable individuals in the hedge fund business. Presents exclusive interviews with fifteen of the most successful hedge fund traders and what they've learned over the course of their careers Includes interviews with Jamie Mai, Joel Greenblatt, Michael Platt, Ray Dalio, Colm O’Shea, Ed Thorp, and many more Explains forty key lessons for traders Joins Stock Market Wizards, New Market Wizards, and Market Wizards as the fourth installment of investment guru Jack Schwager's acclaimed bestselling series of interviews with stock market experts A candid assessment of each trader's successes and failures, in their own words, the book shows readers what they can learn from each, and also outlines forty essential lessons—from finding a trading method that fits an investor's personality to learning to appreciate the value of diversification—that investment professionals everywhere can apply in their own careers. Bringing together the wisdom of the true masters of the markets, Hedge Fund Market Wizards is a collection of timeless insights into what it takes to trade in the hedge fund world.