资源描述：
《Derivatives Use and Risk Taking Evidence》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVol.46,No.4,Aug.2011,pp.1073–1106COPYRIGHT2011,MICHAELG.FOSTERSCHOOLOFBUSINESS,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195doi:10.1017/S0022109011000238DerivativesUseandRiskTaking:EvidencefromtheHedgeFundIndustryYongChen∗
2、AbstractThispaperexaminestheuseofderivativesanditsrelationwithrisktakinginthehedgefundindustry.Inalargesampleofhedgefunds,71%ofthefundstradederivatives.Af-tercontrollingforfundstrategiesandcharacteristics,derivativesusersonaverageexhibitlowerfundrisks(e.g.
3、,marketrisk,downsiderisk,andeventrisk),suchriskreductionisespeciallypronouncedfordirectional-stylefunds.Further,derivativesusersengagelessinriskshiftingandarelesslikelytoliquidateinapoormarketstate.However,theflow-performancerelationsuggeststhatinvestorsdon
4、otdifferentiatederivativesuserswhenmakinginvestingdecisions.I.IntroductionHedgefundshaveexperiencedexplosivegrowthbothinassetsunderman-agement(AUM)andinthenumberoffundsinthepast2decades.Becausethemajorityofhedgefunds,aspartoftheirhighlyflexibleinvestmentstr
5、ategies,tradederivativesecurities,theuseofderivativeshasbecomeofgreatconcerntofundinvestorsandregulators(e.g.,Geithner(2006)).Ontheonehand,givenstrikinglyadverseconsequencesofderivativestradingoftenreportedinpopularpress,fund∗Chen,yong.chen@vt.edu,PamplinC
6、ollegeofBusiness,VirginiaTech,1016PamplinHall,Blacksburg,VA24061.Thispaperisbasedonchapter1ofmydoctoraldissertationatBostonCollege.IamgratefultomyadvisorWayneFersonanddissertationcommitteemembersDavidChapman,RichardEvans,andJeffreyPontiffforinvaluableguida
7、nceandencouragement.IthankananonymousrefereeandStephenBrown(theeditor)forconstructivefeedback.Thispaperhasbenefitedfromhelp-fulcommentsbyGeorgeAragon,SuleymanBasak,NickBollen,MikeCliff,MilaGetmansky,WillGoetzmann(WFAdiscussant),CliffHolderness,EdieHotchkiss
8、,EdKane,RuneetKishore,BingLiang,AlanMarcus,NarayanNaik,TomNohel,JunQian,RichardRoll,VijaySingal,PhilStrahan,MelvinTeo,andseminar/conferenceparticipantsatBaruchCollege,BostonCollege,FederalRe-serveBankofNewYor
