The effect of regulatory constraints on fund performance: new evidence from UCITS hedge funds
File(s)
Accepted version
Author(s)
Joenväärä, J
Kosowski, R
Type
Journal Article
Abstract
This article examines the effect of regulatory constraints on fund performance and risk by comparing conventional and UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1.06% and 4.05% per annum in terms of risk-adjusted returns. These performance differences are likely to stem from UCITS constraints such as those governing eligible assets, diversification, and short selling, and cannot be explained by differences in redemption terms or level of leverage. We confirm that our performance results are not driven by management company characteristics, fund manager characteristics, or unobserved confounder bias.
Date Issued
2021-02-01
Date Acceptance
2020-07-13
ISSN
1382-6662
Publisher
Oxford University Press (OUP)
Start Page
189
End Page
233
Journal / Book Title
Review of Finance
Volume
25
Issue
1
Copyright Statement
© The Author(s) 2020. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For permissions, please email: journals.permissions@oup.com
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model)
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model)
Subjects
1501 Accounting, Auditing and Accountability
1502 Banking, Finance and Investment
Finance
Publication Status
Published
Date Publish Online
2020-07-18