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Prof. Juan Passadore, Einaudi Institute for Economics and Finance (Italia) dictará charla

Esta actividad es  organizada por el Centro de Economía Aplicada y el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Publicas y se ralizará el martes 17 de abril a las 13:30 horas, en Beauchef 851, Piso 4.

Titulo: “Illiquidity in Sovereign Debt Markets”, Profesor Asistente Einaudi Institute for Economics and Finance (Italia)
http://www.juanpassadore.org/

El miércoles 18 de abril, a las 13:30 horas, expondrá Herve Roche de la Universidad Adolfo Ibañez.

“Hedge Fund Fee Structure and Risk Exposure: Theory and Empirical Evidence”, a cargo de Herve Roche, Universidad Adolfo Ibañez.

Abstract:

We solve in closed form the optimal investment strategy of an infinitely lived risk neutral hedge fund manager compensated by a management fee and a high water mark (HWM) contract. The fraction of asset under management (AUM) allocated in equity is a convex increasing function of the distance to the HWM as moving away from the HWM is increasingly bad news both for management and incentive fees. This convexity effect is enhanced by the size of the incentive fee rate. The higher the management fee rate, the larger the risk exposure, as the revenue insurance effect gets magnified. Frequently beating by a small amount the HWM is optimal as it mitigates the ratchet feature of the HWM. Data seem to support the theoretical predictions of the model: returns’ volatility is strongly related to distance to the HWM: being 20% underwater is associated with an increase of 192 bps in the ex-post returns’ volatility. Also consistent, the time elapsed between hits and the extent to which the fund surpasses the HWM both increase with distance to the HWM. An extension shows that a fund termination threat reduces risk taking behavior as the fund drifts away from the HWM, which is consistent with our empirical findings.

https://sites.google.com/site/hervejroche/home/research

Si desea asistir debe confirmar asistencia : obarrera@dii.uchile.cl