| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10577 |
| DP10577 Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds | |
| Robert Kosowski; Juha Joenväärä | |
| 发表日期 | 2015-05-03 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various robustness tests and adjustments for possible selection bias. The liquidity premium for ARUs and their lack of performance persistence have implications for both investors and policy makers. |
| 主题 | Financial Economics |
| 关键词 | Hedge fund performance Managerial skill Mutual fund performance Regulation |
| URL | https://cepr.org/publications/dp10577 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539409 |
| 推荐引用方式 GB/T 7714 | Robert Kosowski,Juha Joenväärä. DP10577 Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
