Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.818975
Title: Essays on investment and portfolio management of hedge funds
Author: Zhang, Chao
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2018
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
This thesis is made up of three independent chapters on hedge fund investment and portfolio management. This thesis aims to shed light on the investment skills of hedge fund managers in the U.S. stock market and convertible bond market, and the funding liquidity risk of hedge funds. Chapter 2 investigates the preference and investment skills of Equity Long/Short and Equity Market Neutral hedge fund managers in the U.S. equity market from March 1997 to December 2012. Numerical results show that equity fund managers on average prefer stocks with smaller size, higher book-to-market, one-month momentum and twelve-month reversal. This chapter shows that the aggregate holdings and trading of equity hedge funds predict stock returns. Besides, we find that equity hedge fund managers have superior stock picking ability, but no superior market timing ability. Chapter 3 studies the impact of hedge fund trading that are induced by funding liquidity shocks on stock prices. In this chapter, we show that shocks to aggregate funding liquidity lead to massive selloffs of hedge funds with fewer share restrictions and higher leverage. Besides, the selloffs of financially constrained hedge funds create price pressure in the stock market during liquidity shock periods. In sum, this chapter provides supportive evidence for the liquidity spiral model in Brunnermeier and Pedersen (2009). Chapter 4 provides an innovative analysis of the risk and returns of convertible bond arbitrage hedge funds. Consistent with previous research, this chapter reveals that a long-only convertible bond portfolio, together with a long-short convertible bond portfolio, explains the majority of convertible arbitrage hedge fund index returns. Besides, with 13F hedge fund holdings of convertible bonds, we improve the Sharpe Ratio of the long-short convertible arbitrage strategy and the explanatory power of the convertible arbitrage benchmark model.
Supervisor: Kosowski, Robert Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.818975  DOI:
Share: