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Thu, 27 Sep 2012 14:55:09 +0000Thomas Maehlmann Catholic University of Eichstaett-Ingolstadt - Chair of Banking and Finance September 19, 2012 Abstract The so called Magnetar trade (a kind of capital structure arbitrage on the US housing market, using CDS and synthetic CDOs, and exploiting rating-dependent mispricing of risk) has gained a high publicity due to a Pulitzer Prize awarded media story from two journalists of...
Sun, 01 Jul 2012 12:58:06 +0000Blerina Reca, Richard Sias and H. J. Turtle Abstract We examine hedge fund herding using a proprietary dataset that identifies hedge funds filing 13(f) reports. Hedge funds’ role in the market dramatically increases over time and hedge funds exhibit much higher turnover than other institutional investors. Inconsistent with common perceptions, however, hedge funds are less likely to herd...
Thu, 21 Jun 2012 10:50:22 +0000Vikas Agarwal, Wei Jiang, Yuehua Tang and Baozhong Yang Abstract This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with...
Thu, 21 Jun 2012 10:31:44 +0000Andrew J. Patton and Tarun Ramadorai Abstract We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We...
Wed, 30 May 2012 09:01:33 +0000William Fung PI Asset Management, LLC David A. Hsieh Duke University Abstract Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund returns by focusing on the popular 'trend-following' strategy. We...
Mon, 28 May 2012 11:12:52 +0000Petri Jylha Aalto University Kalle Rinne Aalto University School of Economics Matti Suominen Aalto University, Department of Finance Abstract Regressing hedge funds’ returns on a measure of the returns from providing immediacy, we find that hedge funds typically supply immediacy in the stock market. In the cross-section, the funds with lengthy lockups and large funds have a higher...
Fri, 11 May 2012 11:40:13 +0000Wei Jiang Columbia Business School - Finance and Economics Kai Li University of British Columbia - Sauder School of Business; China Academy of Financial Research (CAFR) Wei Wang Queen's School of Business Abstract This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital...
Tue, 27 Mar 2012 13:23:34 +0000Harry Markowitz, Robert Snigaroff and David Wroblewski Abstract This paper analyzes the supply and demand for alpha by institutional investors and them money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a function of achieved excess returns and how the ability to produce such excess returns...
Mon, 18 Apr 2011 13:53:58 +0000In an extremely competitive market for investor capital, it is important that both the fund and manager have the necessary operational infrastructure to pass investor due diligence reviews. Such due diligence reviews are increasingly focused on operational issues. The focus of investor due diligence is evolving rapidly and it is imperative that proper governance and operating procedures are...
Mon, 13 Jun 2011 09:21:21 +0000Establishing offshore investment funds requires many issues to be addressed. The selection of administrator, custodian/trustee and prime brokers, appointment of auditors and legal advisors, determination of listing agent and management of the authorisation process must be addressed. KB Associates utilises its expertise in all of the principal offshore jurisdictions to efficiently manage this...
Mon, 13 Jun 2011 09:24:34 +0000Each UCITS fund which intends to utilise derivative instruments, even where such use is exclusively for hedging purposes, is required to produce a Risk Management Process document detailing how the risks arising from the use of derivatives will be managed. KB Associates has consultants with particular expertise in this area who can advise on the preparation of this document either as part of...
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