by Lai, Cheuk-wai Charles, Ng, Kwok-kwong Philip. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 63-65. / TABLE OF CONTENTS / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.ii / LIST OF EXHIBITS --- p.iv / ACKNOWLEDGEMENTS --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- METHODOLOGY --- p.4 / Chapter III. --- INTEREST RATE SWAP --- p.7 / Basic Mechanism of Interest Rate Swap --- p.7 / Interest Rate Swap in Its Simplest Form --- p.8 / Interest Rate Swap with Intermediary --- p.9 / Basis Swap --- p.11 / Arbitrage --- p.12 / Application --- p.16 / New Instruments --- p.21 / Chapter IV. --- CURRENCY SWAP --- p.25 / Swap in Foreign Exchange Market --- p.25 / Swap in Capital Market --- p.26 / Chapter V. --- COMPARISON BETWEEN SWAP AND OTHER INSTRUMENTS --- p.38 / Chapter VI. --- RISKS ATTACHING SWAP CONTRACTS --- p.41 / Interest Rate Risk --- p.43 / Default Risk --- p.45 / Chapter VII. --- SWAPS IN PRACTICAL ENVIRONMENT --- p.57 / New Attitudes of Swap Intermediaries --- p.57 / Situations and Prospect of Swap Market --- p.59 / Empirical Use of Swap in the Market --- p.60 / Chapter VIII. --- CONCLUSION --- p.61 / BIBLIOGRAPHY --- p.63

This study examines systematic patterns in returns reported by hedge funds for the period from 1989 to 2003. Two patterns are examined: strategic changes in returns variance in the second half of the year and the avoidance of reporting small losses. The hedge fund industry has grown rapidly during the 1990s. Despite this rapid growth, and the large amount of investment in hedge funds, hedge funds are less regulated than other forms of investment. Given the lower level of regulation and the assumed ability of hedge fund managers to influence both investment policy and the estimation of value for illiquid assets included in the calculation of returns, I predict systematic patterns in hedge fund returns. Brown, Goetzmann and Park (2001) show that funds that perform poorly compared to their peers tend to adopt more risk in subsequent periods while funds that perform relatively well tend to adopt less risk. I replicate this result in a larger and more recent database of hedge fund returns. The strategic use of variance is more visible in the latter half of the fifteen year period examined. This result is consistent with increased investor scrutiny and competition between hedge funds in recent years. Burgstahler and Dichev (1997) show that public companies tend to avoid reporting small losses. I show that the well documented discontinuity around zero seen in public company earnings distributions is also found in the distribution of hedge fund returns. This is consistent with hedge fund managers facing similar pressure to public company managers to avoid reporting small losses, and managers having the ability to influence reported returns in a less regulated environment.

Not available / text

Thesis (D.B.A.)--Victoria University (Melbourne, Vic.), 2007. / Includes bibliographical references.

Thesis (Ph. D.)--University of Chicago, Dept. of Statistics, June 2000. / Includes bibliographical references. Also available on the Internet.

Thesis (M.Econ.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 31). Also available in print.

Thesis (Ph. D.)--George Mason University, 2002. / Vita. Includes bibliographical references (leaves 126-129).

Call number: LD2668 .T4 1979 C536 / Master of Science

published_or_final_version / Economics and Finance / Master / Master of Economics

Digitized by Kansas Correctional Industries