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Title: Hedge funds : fees, return revisions, and asset disclosure
Author: Streatfield, Michael P.
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2012
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This thesis is a collection of three essays on hedge funds with contributions to the empirical understanding of their fees, and their voluntary disclosure of returns and assets under management, using a large consolidation of widely-employed publicly available hedge fund databases. First, time-series variation in reported fees is analysed using fund launches within hedge fund management companies, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differently from low fee funds, though funds with high incentive fees marginally outperform. An interval regression technique is proposed to overcome the discrete nature of reported fees. Secondly, the reliability of voluntary disclosures of financial information is analysed with a different measure of time-variation --- tracking changes to statements of historical performance recorded at different points in time. This uncovers evidence that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Moreover, funds that revise their performance histories, significantly and predictably underperform those that have never revised. Finally, the availability, and timing, of the selective disclosure of assets under management by funds is examined. More than a third of funds have asset records falling short of returns published. There is evidence of strategic disclosure by funds --- asset reporting drying up after times of fund stress, such as poor performance or outflows. Furthermore, investors should take heed of the greater propensity for shortfall funds to trigger fraud performance flags. These results suggest that unreliable disclosures: constitute a valuable source of information for current and potential investors; have implications for researchers; and, exhort market regulators to include assets, not just returns, in the debate around mandatory disclosure by financial institutions.
Supervisor: Ramadorai, Tarun Sponsor: Investec Asset Management
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Finance ; Financial economics ; Economics ; Asset Pricing ; Hedge Funds ; Funds-of-Funds ; Hedge Fund Fees ; Voluntary Disclosure ; Performance ; Assets Under Management ; Management Companies ; Revisions ; Hedge Fund Databases ; Fraud