Publications

BibTex format

@article{Buraschi:2014:10.1111/jofi.12167,
author = {Buraschi, A and Kosowski, R and Sritrakul, W},
doi = {10.1111/jofi.12167},
journal = {The Journal of Finance},
pages = {2819--2870},
title = {Incentives and endogenous risk taking: a structural view of hedge funds alphas},
url = {http://dx.doi.org/10.1111/jofi.12167},
volume = {69},
year = {2014}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these optionlike incentives affects optimal leverage ex ante, depending on the distance of fundvalue from the highwater mark. We study how these endogenous effects influence performance measures used in the literature. We show that reducedform measures that do not account for these features are subject to economically significant false discovery biases. The result is stronger for lowquality funds. We propose an alternative structural methodology for conducting performance attribution in hedge funds.
AU  - Buraschi,A
AU  - Kosowski,R
AU  - Sritrakul,W
DO  - 10.1111/jofi.12167
EP  - 2870
PY  - 2014///
SN  - 0022-1082
SP  - 2819
TI  - Incentives and endogenous risk taking: a structural view of hedge funds alphas
T2  - The Journal of Finance
UR  - http://dx.doi.org/10.1111/jofi.12167
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1785995
VL  - 69
ER  -

Download

ProfessorAndreaBuraschi

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)