A Time to Scatter Stones, and a Time to Gather Them : Annual Cycle in Hedge Fund Risk Taking

Kolokolova, Olga and Mattes, Achim (2018) A Time to Scatter Stones, and a Time to Gather Them : Annual Cycle in Hedge Fund Risk Taking. The Financial Review, 53 (4). pp. 669-704. ISSN 1540-6288

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Abstract

Analyzing a sample of hedge fund daily returns from Bloomberg, we find a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce 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. Toward the end of a year, poorly performing funds gamble for resurrection by increasing risk. It is largely achieved by increasing exposure to market factors, and can be linked to stronger indirect managerial incentives during the second half of a year.

Item Type:
Journal Article
Journal or Publication Title:
The Financial Review
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2003
Subjects:
?? financeeconomics and econometrics ??
ID Code:
203626
Deposited By:
Deposited On:
18 Sep 2023 08:50
Refereed?:
Yes
Published?:
Published
Last Modified:
16 Jul 2024 00:10