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Olga Kolokolova's research staff profile

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How Risky are Low-Risk Hedge Funds?

Mattes, Achim; Kolokolova, Olga

2015;.

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POST-PEER-REVIEW-PUBLISHERS.PDF (pdf)

Abstract

This paper investigates the determinants of the average level of risk of hedge funds, which provide high liquidity to their investors and report their returns on a daily basis. We find that larger funds and funds charging higher incentive fees exhibit lower risk, whereas funds charging higher management fees, imposing longer notice periods, and stemming from large fund-families take more risk. There is considerable variation in the risk levels between funds reporting in Euro and USD, with Euro funds being consistently less risky, suggesting that these funds target different types of investors with other preferences.

Keyword(s)

Hedge funds Risk taking Incentives

Bibliographic metadata

Type of resource:

text

Content type:

Journal article

Publication status:

Accepted

Publication type:

Original research

Publication form:

Academic journal article

Author(s):

Published date: