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 ... [truncated at 450 characters in length]
|Creator||Michael P. Streatfield;|
|Key phrase||Asset Pricing Hedge Funds Funds-of-Funds Hedge Fund Fees Voluntary Disclosure Performance Assets Under Management Management Companies Revisions Hedge Fund Databases Fraud|
This thesis is concerned with volatility estimation using financial panels and bias-reduction in non-linear dynamic panels in the presence of dependence.
Traditional GARCH-type volatility models require large time-series for accurate estimation. This makes it impossible to analyse some interesting datasets which do not have a large enough history of observations. This study contributes to the literature by introducing the GARCH Panel mod ... [truncated at 450 characters in length]
|Key phrase||nonlinear dynamic panel data bias reduction GARCH hedge funds composite likelihood|