Master-Arbeit Univ. St. Gallen, 2007.

Bachelor-Arbeit Univ. St. Gallen, 2008.

Master-Arbeit Univ. St. Gallen, 2008.

Master-Arbeit Univ. St. Gallen, 2008.

Zugl.: Tübingen, Univ., Diss. 2008 u.d.T.: Berg, Bernd: Hedgefonds und die Asienkrise.

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance and risk by conducting four interrelated essays. The first two essays measure and predict hedge fund performance using novel methodologies based on recent development in portfolio choice techniques. This new way to evaluate fund performance relies on economic theory and robust econometric principles. The first essay exploits hedge fund characteristics in order to pick right funds into a portfolio, whereas the second essay predicts hedge fund performance using conditional information that is contained in macroeconomic variables. The empirical analysis shows that the proposed conditional real-time portfolio strategies deliver significant outperformance over the unconditional benchmark strategy which does not utilize conditional information. The third essay investigates whether a particular hedge fund with specific fund characteristics contributes to systemic risk and how hedge funds with a high systemic risk contribution perform during the times of financial distress. The findings suggest that the fund’s capital structure is related to its systemic risk contribution, and, furthermore, that hedge funds with a high systemic risk contribution tend to deliver extremely poor performance during the times of financial distress. The fourth essay examines the impact of share restrictions on hedge fund performance and risk-taking. The essay finds that hedge funds with a lockup period tend to take excess risk that is not compensated when performance is measured as a unit of risk taken by the hedge fund. In addition, the length of notice periods increases along with the illiquidity level of fund investments. Finally, hedge funds with a long notice period seem to be able to earn an illiquidity premium.

This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.

To gain insight into the impact that investors have on the firm's auditor choice decision, this study investigates the association between changes in investor monitoring and auditor turnovers. Hedge fund activism provides a unique setting to observe how highly motivated investors, willing to incur significant expense to effect changes in target firms, are able to influence a firm's decision to dismiss their external auditor. I find that activist hedge fund targets see an increase in auditor turnovers and dismissals during the years following hedge fund activism relative to both the two years' pre-activism and a propensity matched sample of firms. I document that the increase in auditor turnovers is primarily driven by target firms with a Big 4 auditor, and that hedge fund targets primarily seek a lateral change in auditors. Consistent with institutional concerns that excess compensation impairs auditor independence, I find that activist targets are more likely to dismiss their auditors when the auditor is earning high non-audit service fees and high abnormal audit fees. I then examine how the market interprets the lateral change in auditors. I find that financial statement reliability increases for lateral auditor changes associated with independence concerns. Finally, I examine the conditions under which the hedge funds are able to facilitate an auditor change. I find that hedge funds pursuing less aggressive activist campaigns, and hedge funds seeking less public forms of interventions are more likely to seek an auditor dismissal. This relation between non-confrontational campaigns and auditor dismissals is consistent with prior research suggesting that hedge funds seeking to work with management are better able to enact changes in a target firm.

5252 Abstract Collective investment and its legal regulation In the Czech Republic the collective investment has experienced a huge expansion in the last decade which was caused among others by renewing the trust in legal regulation which ensures the safety of investment to the investors. Because the topic is relatively difficult and undoubtedly interesting I chose it as a topic of my diploma thesis. This paper is divided into chapters and subchapters containing particular topics regarding the collective investment legislation but to maintain the overall logical structure of the issue. Before starting to write the diploma thesis I discussed the biggest problems of a practical application of the collective investment legal regulation with practising lawyers as this view from the academic preparation was missing. I found out from this short survey the most common problems connected with the collective investment legal regulation which I discussed in this diploma thesis. These include in particular the definition of public offering under the Collective Investment Act, the possibility to offer the services of closed-end foreign funds in the Czech Republic and the recently introduced legislation regarding standard and alternative funds. For this reason I researched the available literature including papers in...

Thesis advisor: Ronnie Sadka / In the first essay, In this paper, I examine how the connections between activist hedge funds and other institutional investors affect the activist campaigns. I identify a positive causal effect of long-term relationships with other investors on the short-run and long-run performance of activists' target companies. Overall, my results highlight that connections to other institutional investors benefit institutional asset managers. In the second essay, we show that firms in the same board-interlock networks tend to have similar corporate governance practices. We utilize a novel instrument based on staggered adoptions of universal demand laws across states to identify causal peer effects in firms' decisions to adopt various governance provisions. The impact of universal demand laws on the incentives faced by directors as they seek to maximize their career outcomes is a likely mechanism explaining these effects. In the third essay, I investigate whether hedge funds employ short sales to mask their exiting intention when they engage in shareholder activism. Using a hand-collected sample, I find that the probability of a spike in short interest before exit announcements is higher in firms targeted by activists who have a history of short interest increase in their previous targets. According to my findings, the hypothesis is that these hedge funds are more likely to use short sales since they are more concerned about locking their profit and not taking the risk of exit announcements. Overall, this paper provides new evidence of a possible exiting strategy: Silent Exiting via short selling. / Thesis (PhD) — Boston College, 2017. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.