This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the...

The day-of-the-week effect is a market anomaly that manifests as the cyclicalbehaviour of traders in the market. This market anomaly was first observed by M.F.M.Osborne (1959). The literature distinguishes between two types of cyclical effects inthe market: the cyclical pattern of mean returns...

To what extent can hedge funds influence stock price volatility surrounding theannouncements of major corporate events? To answer this question, this paper examinesone of the more common major corporate events: seasoned equity offerings (SEOs). Wetest the impact of hedge fund variables on...

This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim of the strategy is to exploit underpricing of convertible bonds by taking a long position in a convertible and a short position in the underlying asset. The authors find that convertible bonds...

The creation of a market in bankruptcy claims is the single most important development in the bankruptcy world since the Bankruptcy Code’s enactment in 1978. Claims trading has revolutionized bankruptcy by making it a much more market-driven process. The limited scholarly literature on claims...

Essay OneUnder the principal-agent framework, we study and compare different compensation schemes commonly adopted by hedge fund and mutual fund managers. We find that the option-like performance fee structure prevalent among hedge funds is suboptimal to the symmetric performance fee structure....

Hedge funds feature special compensation structure compared to traditional investments. Previous studies mainly focus on the provisions and incentive structure of hedge fund contract, such as 2/20, hurdle rates, and high-water mark. The first essay develops an algorithm to empirically estimate...

Hedge funds and China’s stock market: a study on factors influencing investment decisions by fund managersThe research was conducted using a web-based questionnaire sent to all Asia-related hedge funds, worldwide. Analysis of the collected data revealed that the factors influencing the...

The primary objective of this thesis is to provide models capable of predicting financial distress in individual hedge funds (HFs) and funds-of-hedge funds (FOHFs). Two approaches were used to build these models. The first approach was based on a cross-sectional model while the second one was on...

Increased globalisation of international business and operations results in anincrease of firms facing foreign exchange risk. One of the ways to mitigate this riskis the use of currency derivatives to hedge this foreign exchange exposure. Thisresearch explores the characteristics of South...