Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Byoung Uk Kang"'
Autor:
Ji-Woong Chung1, Byoung Uk Kang2 byoung.kang@polyu.edu.hk
Publikováno v:
Review of Financial Studies. Dec2016, Vol. 29 Issue 12, p3321-3353. 33p.
Publikováno v:
Management Science.
Using the setting of funds of hedge funds (FoFs), we show that prime brokers (PBs) facilitate investors’ search for informed hedge fund managers. We find that FoFs exhibit PB bias, a disproportionate preference for hedge funds serviced by their con
Publikováno v:
Accounting Horizons. 35:23-43
SYNOPSIS Using the setting of hedge funds, we document two important merits of external audits. We find that incentive fee rates (i.e., performance-based compensation to fund managers) are higher for audited funds than for unaudited funds. In contras
Publikováno v:
Review of Quantitative Finance and Accounting. 54:1247-1278
We examine, for various educational characteristics of hedge fund managers, the performance profile of hedge fund portfolios along their managers’ professional experience path. We find that during the initial years following their graduation, hedge
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Empirical Finance. 42:15-39
We show that standard beta pricing models quantify an asset's systematic risk as a weighted combination of a number of different timescale betas. Given this, we develop a wavelet-based framework that examines the cross-sectional pricing implications
Autor:
Byoung Uk Kang, Ji-Woong Chung
Publikováno v:
Review of Financial Studies. 29:3321-3353
We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common infor
Publikováno v:
SSRN Electronic Journal.
Using the setting of funds of hedge funds (FoFs), we show that prime brokers (PBs) facilitate investors' search for informed hedge fund managers. We find that FoFs exhibit PB bias, a disproportionate preference for hedge funds serviced by their conne
Publikováno v:
SSRN Electronic Journal.
We provide new evidence on the economic benefits to mutual fund families from having a portfolio of funds with diversified investor fund flows. We show that diversified fund families enjoy greater stability of assets under management, and experience
Publikováno v:
Journal of Financial and Quantitative Analysis. 45:763-789
This paper reexamines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from t