The hedge fund return puzzle. A macroeconomic explanation
PhD ceremony: Mr. B.A. Boonstra, 14.45 uur, Academiegebouw, Broerstraat 5, Groningen
Title: The hedge fund return puzzle. A macroeconomic explanation
Promotor(s): prof. R.A.H. van der Meer, prof. E. Sterken
Faculty: Economics and Business
In its recorded history hedge funds have generated puzzlingly large risk adjusted returns which cannot be explained by classical capital asset pricing theory. Unlike most hedge fund research, which focuses on microeconomic and organizational issues, this thesis investigates hedge fund returns solely by means of a macroeconomic perspective. In the macroeconomic view the raison d‘être of hedge funds is not only explained, but a comprehensive approach on explaining the large observed risk adjusted returns is also proposed.
In the macroeconomic perspective capital markets are characterized by the phenomenon of incomplete equitization. In incompletely equitized markets, imperfections lead to a failure in trading, i.e. in selling and in buying financial claims on future income and consumption streams. Henceforth, consumers cannot fully diversify consumption risk, as optimally desired. In their effort to reduce consumption risk, consumers turn to financial intermediaries, and to hedge funds in particular, organized to facilitate them in transferring and reducing the unwanted unequitized exposures.
Albeit the thesis is fully geared to macroeconomic explanations for hedge fund returns, it is believed that the theory offers additional insights into the hedge fund industry which, especially in today’s capital market environment, may be of use to practitioners in the field. In particular investors, such as fund of hedge funds, with a top-down macroeconomic asset allocation view may find value in this perspective.
Last modified: | 13 March 2020 01.12 a.m. |
More news
-
17 July 2024
Veni-grants for ten researchers
The Dutch Research Council (NWO) has awarded a Veni grant of up to €320,000 each to ten researchers of the University of Groningen and the UMCG. The Veni grants are designed for outstanding researchers who have recently gained a PhD.
-
08 July 2024
New collaboration between UGBS and Faculty of Spatial Sciences: education for professionals
Bringing together knowledge and experience will provide new educational opportunities for professionals working in a variety of organisations.
-
02 July 2024
Vocation or necessary evil?
It is important to know how employees perceive their jobs, as Milena Nikolova discovered. The Professor of Economics of Wellbeing distinguishes three different types of work motivations.