题目：Decreasing Returns to Scale and Skill in Hedge Funds
时间：2023年3月3日（周五）10:00-11:00
地点： 浙江大学紫金港校区管理学院A523
主讲人：姚娟博士，悉尼大学
主持人：黄英教授，浙江大学管理学院
主讲人简介：
Dr. Juan Yao is a Senior Lecturer in the Finance Discipline, The University of Sydney Business School. Juan’s research interests are asset pricing, funds management, and emerging market finance. Juan has extensive teaching experience in International Finance, Fixed Income Securities, and Corporate Finance at both undergraduate and postgraduate levels.
讲座摘要：
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.
