Hedge Funds and Chapter 11

This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and secured creditors. Their effect on the debtor manifests in higher probabilities of the latter's loss of exclusive rights to file reorganization plans, CEO turnover, and adoptions of key employee retention plan, while their effect on secured creditors manifests in higher probabilities of emergence and payoffs to junior claims.     

Hedge Funds and the Technology Bubble

This paper documents that hedge funds did not exert a correcting force on stock prices during the technology bubble. Instead, they were heavily invested in technology stocks. This does not seem to be the result of unawareness of the bubble: Hedge funds captured the upturn, but, by reducing their positions in stocks that were about to decline, avoided much of the downturn. Our findings question the efficient markets notion that rational speculators always stabilize prices. They are consistent with models in which rational investors may prefer to ride bubbles because of predictable investor sentiment and limits to arbitrage.     

The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

Rational theories of the closed‐end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed‐hedge fund premium that is highly correlated with the closed‐end mutual fund premium, and shows that the closed‐hedge fund premium is well explained by variables suggested by rational theories. Sentiment‐based explanations do not find support in the data.     

Risks and Portfolio Decisions Involving Hedge Funds

This article characterizes the systematic risk exposures ofhedge funds using buy-and-hold and option-based strategies.Our results show that a large number of equity-oriented hedgefund strategies exhibit payoffs resembling a short positionin a put option on the market index and therefore bear significantleft-tail risk, risk that is ignored by the commonly used mean-varianceframework. Using a mean-conditional value-at-risk framework,we demonstrate the extent to which the mean-variance frameworkunderestimates the tail risk. Finally, working with the systematicrisk exposures of hedge funds, we show that their recent performanceappears significantly better than their long-run performance.     

对冲基金激进主义策略的研究综述

近些年,对冲基金激进主义策略受到越来越多基金管理者的关注,其研究重心也开始从资本市场价格变动转向标的企业管理层。对冲基金激进主义策略呈现出"改善公司治理、注重目标企业长期发展、减少委托代理冲突"等特点。本文针对该策略研究的转变,从对冲基金激进主义策略特征、市场有效性、策略研究方法以及对公司治理的改善等几个方面,对对冲基金激进主义策略进行综述。     

对冲基金及其监管问题研究

近年来,随着金融市场的加速创新和结构性调整,对冲基金的规模也迅速扩张,成为国际金融市场的重要参与者。与传统的资产管理、共同基金相比,对冲基金在投资策略、组织形式等方面具有自己的特点。对冲基金日益扩大的资产规模和自由灵活的投资策略增加了金融市场的流动性、提高了市场效率,但同时也给金融体系带来了新的不稳定因素。2006年以来,对冲基金对金融稳定的影响日益成为全球金融监管者关注的问题。有些国家主张通过间接监管的方式,有些则一直推动加强对对冲基金的直接监管。如何加强对对冲基金的监管,减少对冲基金对金融体系稳定性的负面影响,仍然是全球金融业面临的一项挑战。     

近期对冲基金业的发展特征及对我国的启示

近年来,在全球金融一体化的背景下,随着金融风险理论的发展和金融衍生工具的创新,对冲基金在数量和资产规模上都有了显著增长,并呈现出许多新的变化和特点。本文从对冲基金规模、区域分布、投资组合策略、对国际金融市场的影响、收益-风险特征变化以及监管几个方面,对对冲基金进行了研究与分析,对今后我国如何监管对冲基金进行了探讨,并提出了自己的建议。     

金融稳定视角下的对冲基金监管框架研究

进入新世纪以来,在低利率环境下对冲基金规模、市场影响和行业特征发生了一系列重要变化。从金融稳定视角看,对冲基金既可以基于不受直接监管的特点,向市场注入流动性,充当系统性风险"缓释器",也可以因高杠杆、隐蔽的操作直接或间接触发市场危机。为趋利避害,在构建对冲基金监管框架时,应遵循如下原则,一是避免直接限制对冲基金投资活动和风险管理细节,防止对其像共同基金或银行那样实施监管;二是在把握对冲基金市场影响传导机制的基础上控制监督关键变量,提高预警能力;三是在多元治理视角下,努力引导加强市场纪律。     

Entrepreneurial Shareholder Activism: Hedge Funds and Other Private Investors

We examine recent confrontational activism campaigns by hedge funds and other private investors. The main parallels between the groups are a significantly positive market reaction for the target firm around the initial Schedule 13D filing date, significantly positive returns over the subsequent year, and the activist's high success rate in achieving its original objective. Further, both activists frequently gain board representation through real or threatened proxy solicitations. Two major differences are that hedge funds target more profitable firms than other activists, and hedge funds address cash flow agency costs whereas other private investors change the target's investment strategies.     

Hedge Funds: Performance, Risk, and Capital Formation

We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.     

资金互助社——农村金融的一条有效途径

我国目前农村金融已基本建立起商业银行、合作银行、政策金融并存的格局,在县域经济中并不缺乏各种类型的金融机构,但是缺乏真正为一般农户和农业生产服务的金融机构。在现阶段,大力发展农村资金互助合作组织可能是解决一般农户资金需求的有效途径,符合以农户、中小企业为中心,结合农村组织化、产业化、城镇化所产生的金融需求,创造性地设计金融供给制度。我们应着力营造资金互助合作组织发展空间,提升其在农村金融中的地位。     

Factor-based,Non-parametric Risk Measurement Framework for Hedge Funds and Fund-of-Funds

Abstract

A factor-decomposition based framework is presented that facilitates non-parametric risk analysis for complex hedge fund portfolios in the absence of portfolio level transparency. This approach has been designed specifically for use within the hedge fund-of-funds environment, but is equally relevant to those who seek to construct risk-managed portfolios of hedge funds under less than perfect underlying portfolio transparency. Using dynamic multivariate regression analysis coupled with a qualitative understanding of hedge fund return drivers, one is able to perform a robust factor decomposition to attribute risk within any hedge fund portfolio with an identifiable strategy. Furthermore, through use of Monte Carlo simulation techniques, these factors can be employed to generate implied risk profiles at either the constituent fund or aggregate fund-of-funds level. As well as being pertinent to risk forecasting and monitoring, such methods also have application to style analysis, profit attribution, portfolio stress testing and diversification studies. This paper outlines such a framework and presents sample results in each of these areas.     

The Performance of Hedge Funds: Risk, Return, and Incentives

Hedge funds display several interesting characteristics that may influence performance, including: flexible investment strategies, strong managerial incentives, substantial managerial investment, sophisticated investors, and limited government oversight. Using a large sample of hedge fund data from 1988–1995, we find that hedge funds consistently outperform mutual funds, but not standard market indices. Hedge funds, however, are more volatile than both mutual funds and market indices. Incentive fees explain some of the higher performance, but not the increased total risk. The impact of six data-conditioning biases is explored. We find evidence that positive and negative survival-related biases offset each other.     

The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers

This study examines whether the standard compensation contract in the hedge fund industry aligns managers’ incentives with investors’ interests. I show empirically that managers’ compensation increases when fund assets grow, even when diseconomies of scale in fund performance exist. Thus, managers’ compensation is maximized at a much larger fund size than is optimal for fund performance. However, to avoid capital outflows, managers are also motivated to restrict fund growth to maintain style‐average performance. Similarly, fund management firms have incentives to collect more capital for all funds under management, including their flagship funds, even at the expense of fund performance.     

产业基金之法务

产业投资基金设立时应特别注意以下法律问题:首先是相关当事人主体资格、资质的合法性。包括产业投资基金的发起人、基金管理人、基金托管人、基金承销人等当事人应当具备法律、法规对产业投资基金主体资格、资质的要求等。     

银行理财产品质押的法律探析

2008年,“两会”期间提交的关于准许以商业银行理财产品质押融资的议案,引发了人们关于银行理财产品能否质押的讨论。作为法律对商业要求的回应,本文首先根据产品持有人享有的权利对各类银行理财产品进行了法律上的定性,明确理财产品所包含的“普通债权”和“信托受益权”。其次通过法理分析确立了两类权利质押的可能性和合理性。最后提供了相关的制度安排以消除理财产品出质的法律障碍和控制质押业务所带来的风险,希望能对理财产品持有人享受融资便利有所贡献。     

Law and Project Finance

We investigate Project Finance as a private response to inefficiencies created by weak legal protection of outside investors. We offer a new illustration that law matters by demonstrating that for large investment projects, Project Finance provides a contractual and organizational substitute for investor protection laws. Project Finance accomplishes this by making cash flows verifiable through two mechanisms: (i) contractual arrangements made possible by structuring the project within a single, discrete entity legally separate from the sponsor; and (ii) private enforcement of these contracts through a network of project accounts that ensures lender control of project cash flows. Comparing bank loans for Project Finance with regular corporate loans for large investments, we show that Project Finance is more likely in countries with weaker laws against insider stealing and weaker creditor rights in bankruptcy. We identify the predicted effects using difference-in-difference and triple-difference tests that exploit exogenous country-level legal changes and inter-industry differences in free cash flow and tangibility of assets.     

全球流动性过剩中的对冲基金:国际新动向及其对中国的启示

全球流动性过剩导致全球金融资产激增,推动对冲基金业规模迅速膨胀。与此同时,对冲基金业也出现了新的变化:投资者结构出现了机构化趋势,并受到监管当局日趋严厉的监管。这也使得对冲基金的收益和风险水平有了新的变化,呈现稳中趋降的态势。全球经济失衡和流动性过剩也推动对冲基金在全球寻找套利和投机机会,对全球的金融稳定产生一定的影响。中国需要审慎地推进资本项目开放和加强对冲基金的监管。