This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

For funds with greater incentives and greater opportunities to inflate returns, we find that (i) returns during December are significantly higher than those during the rest of the year even after controlling for risk in both time-series and the cross-section; (ii) this December spike is greater...

Recently there has been a rapid growth in the assets managed by hedged mutual funds - mutual funds mimicking hedge funds strategies. In this paper, we examine the performance of these funds relative to hedge funds and traditional mutual funds. We find that despite their use of similar trading...

This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a...

Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the...

In diesem Papier wird das Handelsverhalten großer Marktteilnehmer während des Versuchs einer künstlich erzeugten Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future-Transaktionen von Händlern und Kunden untersuchen...

Die London Stock Exchange hat im Jahr 1997 dem Publikum die Möglichkeit eingeräumt, durch die Abgabe von limitierten Ordern bei bestimmten Aktien direkt mit den Händlern zu konkurrieren. Anders als bei der NASDAQ, wurde in London für diese Aktien auch die Verpflichtung für die Händler...

Dieses Papier untersucht vier Themenbereiche: Erstens werden die Determinanten der Netto-Zuflüsse in Hedgefonds untersucht. Zweitens betrachten wir die Anreize für das Management von Hedgefonds. Drittens untersuchen wir das Verhalten von Hedgefondsinvestoren. Schliesslich betrachten wir, was...