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Risk Shifting, Manager Sentiment and...

Jiang, Cheng.

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Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures./
Author:	Jiang, Cheng.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:	77 p.
Notes:	Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
Contained By:	Dissertation Abstracts International78-10A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10260148
ISBN:	9781369852530

Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures.
Jiang, Cheng.

Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 77 p.

Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.

Thesis (Ph.D.)--Illinois Institute of Technology, 2017.

This dissertation focuses on a subset of hedge fund, Commodity Trading Advisors (CTAs), which has grown in the past 35 years and highlighted by its diversification benefit to traditional asset classes. I will study the risk-taking, market timing and market capacity of CTAs.

ISBN: 9781369852530Subjects--Topical Terms:

542899
Finance.

Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures.
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100 1 $a Jiang, Cheng. $3 3346109
245 1 0 $a Risk Shifting, Manager Sentiment and New Investment Efficiency in Managed Futures.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 77 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
500 $a Adviser: Li Cai.
502 $a Thesis (Ph.D.)--Illinois Institute of Technology, 2017.
520 $a This dissertation focuses on a subset of hedge fund, Commodity Trading Advisors (CTAs), which has grown in the past 35 years and highlighted by its diversification benefit to traditional asset classes. I will study the risk-taking, market timing and market capacity of CTAs.
520 $a I study the volatility of an extensive sample of live and CTAs from 1994 to 2014. Utilizing the gross-of-fee return, I document significant mean-reversion in volatility in the time series of CTA funds. I further examine the impact of performance on volatility shift, and find consistent evidence of risk tournament behavior, especially when the CTA industry is performing well. Moreover, the risk shifting of CTA managers depend upon both relative and absolute fund performance. The asymmetric nature of performance-based compensation in hedge funds produces a strong incentive for risk-shifting, but empirical research presents mixed evidence of risk-seeking behavior. The driver of the change in risk can also be related to other reasons other than incentive fees. I introduce a behavioral regime-switching model of fund manager sentiment in which Bayesian learning is used to update beliefs about market environment in an effort to predict future performance and anticipate market moves. I find that the risk-taking behavior of fund managers is influenced by human emotions but in two distinctly different ways.
520 $a The capital flow to hedge funds has well-known price pressure and smart money effect. This paper studies the capital flows impact on CTA future performance. It had been observed both in mutual funds and hedge funds that mangers scale their existing holding up or down by using new capital inflow rather than trade new positions. It is interesting whether it will exist in managed future space. I use Vector auto-regression (VAR) to evaluate a system of 2 variables: capital inflow and future performance. If the relationship is negative, one possible reason could be the market impact that erodes the profit generated by price pressure. The result shows that CTA space already reached its capacity.
590 $a School code: 0091.
650 4 $a Finance. $3 542899
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710 2 $a Illinois Institute of Technology. $b Business. $3 3342150
773 0 $t Dissertation Abstracts International $g 78-10A(E).
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791 $a Ph.D.
792 $a 2017
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10260148