Imperial College London
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ProfessorRobertKosowski

Business School

Head of the Department of Finance and Professor of Finance
 
 
 
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Contact

 

r.kosowski Website

 
 
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Location

 

3.0253 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Joenväärä:2021:rof/rfaa017,
author = {Joenväärä, J and Kosowski, R},
doi = {rof/rfaa017},
journal = {Review of Finance},
pages = {189--233},
title = {The effect of regulatory constraints on fund performance: new evidence from UCITS hedge funds},
url = {http://dx.doi.org/10.1093/rof/rfaa017},
volume = {25},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This article examines the effect of regulatory constraints on fund performance and risk by comparing conventional and UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1.06% and 4.05% per annum in terms of risk-adjusted returns. These performance differences are likely to stem from UCITS constraints such as those governing eligible assets, diversification, and short selling, and cannot be explained by differences in redemption terms or level of leverage. We confirm that our performance results are not driven by management company characteristics, fund manager characteristics, or unobserved confounder bias.
AU  - Joenväärä,J
AU  - Kosowski,R
DO  - rof/rfaa017
EP  - 233
PY  - 2021///
SN  - 1382-6662
SP  - 189
TI  - The effect of regulatory constraints on fund performance: new evidence from UCITS hedge funds
T2  - Review of Finance
UR  - http://dx.doi.org/10.1093/rof/rfaa017
UR  - https://academic.oup.com/rof
UR  - http://hdl.handle.net/10044/1/80909
VL  - 25
ER  -
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