Workshop’s Topic: We investigate value creation by hedge funds using Berk and van Binsbergen’s (2015) value-added. We find that, on average, a hedge fund manager extracts $0.76 million per month from the market. We provide strong evidence of persistence in value creation by hedge fund managers. Of three skill indicators—skill ratio, fee ratio, and total compensation—we find that total compensation best identifies the skilled manager out-of-sample. Investors in value-creating funds benefit from a better risk–return payoff. While hedge funds operate in a less competitive market than mutual funds, incentive fees do not indicate greater skill. The value that hedge funds can extract from the market depends on both the profitability and scalability of the investment strategy.
Time and Location: 10:00-11:00 AM (GMT+8), Room A523 (School of Management)
Language: Bilingual (Chinese and English)
|
Introduction of Speakers |
|
Ph.D. YAO Juan The University of Sydney, Business School |
||
|
|
||
|
|
|
Dr. YAO Juan is a Senior Lecturer in the Finance Discipline, the University of Sydney Business School. Her research interests are asset pricing, funds management, and emerging market finance. She has extensive teaching experience in International Finance, Fixed Income Securities, and Corporate Finance at both undergraduate and postgraduate levels. |
