Hedge fund managers with asymmetric performance-based compensation packages have the incentive to increase the risk taking of their funds in response to poor performance. Based on regression analysis of data from a panel of dollar-based hedge funds from 1994-2008, we find evidence that they do...

We examine the impact of the optionality of performance fee on the risk-shifting behavior of hedge fund managers. Since performance fees earned by hedge fund managers have the characteristics of a call option, the moneyness of the option may have an impact on the risk-taking behavior of...

Using daily returns on a set of hedge fund indices, we study (i) the properties of the indices' conditional density functions, (ii) the presence of asymmetries in conditional correlations between hedge fund indices and other investments and between hedge indices themselves, and (iii) the...

This paper uses a set of return-based factors to test for market (return and volatility) timing ability of Commodity Trading Advisors (CTAs). Unlike previous research, we use return-based factors that are related to the markets in which most CTAs trade. This leads to a higher explanatory power...

A typical hedge fund manager receives greater compensation when the fund has a strong absolute or relative performance. Asymmetric performance fees and fund flow-performance relationship may create incentives for risk-shifting, estimated in our study by the change in fund return volatility in...

Tanzania is well placed to receive a significant increase in aid inflows in coming years. Despite the potential for the additional aid inflows to raise income levels in the country, increasing them may bring about structural changes in the economy that may be unwelcome. One such change is an...