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Ciclo seminarios CEA – MIPP

04Oct

13:00 horas, Sala Consejo, Ingeniería Industrial, Torre Oriente (Beauchef 851, 4to piso, Santiago)

El Centro de Economía Aplicada (CEA) y el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Públicas (MIPP) de la Universidad de Chile invitan a su ciclo de seminarios programados para el segundo semestre del año.

Invitada: Olga Kolokolova, académica de la Universidad de Manchester, UK, experta en Hedge Funds

Título de la conferencia: “A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking”

Abstract
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.

Más información

Confirmaciones: Olga Barrera / obarrera@dii.uchile.cl