财务金融系系列讲座之170期
时间：2015年6月9日（周二）13:30
地点：史带楼303室
主持人：Dr. Fan YU Department of Finance, School of Management, Fudan University
主题：Risk-Shifting, Contractual Incentives and Adverse Selection of Hedge Fund Managers
演讲者：Dr. Gong ZHAN Assistant Professor, Department of Finance, School of Management, Fudan University
摘要：We use factor models and optimal change-point regression models to capture the intra-year risk dynamics of hedge fund managers. Those risk shifting managers are further divided into ’Informed’, ‘Uninformed’ and ‘Misinformed’ groups, according to their post-shifting risk adjusted performance. We find evidence that supports the existence of an ‘Adverse Selection’ problem of managers compensation schemes. Namely, incentive contracts, designed to share risks and align interests, induce the strongest risk taking from the least informed or skilled hedge fund managers, whose risk-shifting decisions result in undesired or even deteriorated risk-adjusted returns for investors. We also find that the High Water Mark has only limited influence on mitigating excessive risk shifting.
财务金融系
2015-6-5
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