A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk takingCitation formats

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A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking. / Kolokolova, Olga; Mattes, Achim.

In: The Financial Review (Statesboro), Vol. 53, No. 4, 2018.

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Kolokolova, Olga ; Mattes, Achim. / A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking. In: The Financial Review (Statesboro). 2018 ; Vol. 53, No. 4.

Bibtex

@article{7c3cff541211470eacbf4875ea2e8e7c,
title = "A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking",
abstract = "Analyzing a sample of hedge fund daily returns from Bloomberg, we find a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce risk. The reduction is stronger for funds with higher management fees, shorter redemption periods, and recently deteriorating performance, consistent with a managerial aversion to early fund liquidation. Towards the end of a year, poorly performing funds gamble for resurrection by increasing risk. It is largely achieved by increasing exposure to market factors, and can be linked to stronger indirect managerial incentives during the second half of a year.",
keywords = "hedge funds, risk taking, incentives, seasonality",
author = "Olga Kolokolova and Achim Mattes",
year = "2018",
doi = "10.1111/fire.12169",
language = "English",
volume = "53",
journal = "The Financial Review (Statesboro)",
issn = "0732-8516",
publisher = "John Wiley & Sons Ltd",
number = "4",

}

RIS

TY - JOUR

T1 - A time to scatter stones, and a time to gather them: the annual cycle in hedge fund risk taking

AU - Kolokolova, Olga

AU - Mattes, Achim

PY - 2018

Y1 - 2018

N2 - Analyzing a sample of hedge fund daily returns from Bloomberg, we find a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce risk. The reduction is stronger for funds with higher management fees, shorter redemption periods, and recently deteriorating performance, consistent with a managerial aversion to early fund liquidation. Towards the end of a year, poorly performing funds gamble for resurrection by increasing risk. It is largely achieved by increasing exposure to market factors, and can be linked to stronger indirect managerial incentives during the second half of a year.

AB - Analyzing a sample of hedge fund daily returns from Bloomberg, we find a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce risk. The reduction is stronger for funds with higher management fees, shorter redemption periods, and recently deteriorating performance, consistent with a managerial aversion to early fund liquidation. Towards the end of a year, poorly performing funds gamble for resurrection by increasing risk. It is largely achieved by increasing exposure to market factors, and can be linked to stronger indirect managerial incentives during the second half of a year.

KW - hedge funds

KW - risk taking

KW - incentives

KW - seasonality

UR - https://financialreview.poole.ncsu.edu/article/a-time-to-scatter-stones-and-a-time-to-gather-them-the-annual-cycle-in-managerial-risk-taking/

U2 - 10.1111/fire.12169

DO - 10.1111/fire.12169

M3 - Article

VL - 53

JO - The Financial Review (Statesboro)

JF - The Financial Review (Statesboro)

SN - 0732-8516

IS - 4

ER -