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Nos visita Olga Kolokolova, experta en Hedge Funds

La Profesora Kolokolova se reunirá con académicos y dictará la charla “A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking” Este seminario se realizará el miércoles 4 de octubre, a las 13:00 horas, en Beauchef 851, Piso 4 y es organizado por el  Centro de Economía Aplicada y el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Publicas  de la Universidad de Chile.


Analyzing a novel sample of hedge fund daily returns from Bloomberg, we show a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce their risk. The reduction is stronger for funds with higher management fees, shorter redemption periods, and recently deteriorating performance, consistent with a managerial aversion to early fund liquidation. Towards the end of a year, all poorly performing funds gamble for resurrection by increasing risk. The risk increase can be linked to indirect managerial incentives, which become stronger during the second half of a year, and it is largely achieved by increasing exposure to market factors.


Inscripciones en obarrera@dii.uchile.cl