考慮交易成本及閉鎖期因素下之避險基金模型研究分析

Modelling and Analysis for Hedge Funds Accounting for Transaction Costs and Lockup Periods

黃有章(Yu-chang Huang)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2015年)

https://doi.org/10.6342/NTU.2015.02272

摘要

傳統的避險基金模型中，並未考量到槓桿度由於市場的流動性及交易成本問題，對資產價格及相對應的報酬率所造成的影響很可能是非線性的。另外，由於對基金的清算觸發條件多半為外生性或是累計虧損達到某一百分比，對於閉鎖期的討論也有所不足。

本文中我們建立了一個考慮閉鎖期限制下的交易模型，經理人在考慮閉鎖期及槓桿對報酬率的影響後，進行投資決策。我們也利用了避險基金的歷史數據進行校準，對於避險基金的生存率與經理人的決策作出預測與討論。

此外，我們也對於基金經理人在緊急狀況下的決策作出推測，討論了 2006 年的 Amaranth 基金事件。

關鍵字

避險基金 ； 閉鎖期 ； 槓桿 ； 交易成本 ； 績效

並列摘要

The traditional models of hedge funds do not consider the nonlinearity between the leverage and the leveraged return, which is caused by the market liquidity and the transaction cost. In addition, the liquidation condition are mostly set as exogenous or long-term cumulative loss, lacks of the consideration in the lockup period.

In this paper we establish a trading model with lockup period restrictions. Fund managers consider investment decisions under the lockup period and the leveraging cost. We also make a calibration under the historical data of the hedge fund industry to estimate the reaction of the fund managers.

Furthermore, we predict the funds' decision-making in emergency situations, discussing the event of the Amaranth Advisor in 2006.

並列關鍵字

hedge funds ； lockup period ； leverage ； performance ； transaction cost ； foreign exchange markets

參考文獻

Eichengreen, B., D. Mathieson, B. Chadha, A. Jansen, L. Kodres, and S. Sharma., 1998, "Hedge Fund and Financial Market Dynamics", Washington, DC: International Monetary Fund.

Ackermann, C., R. McEnally, and D. Ravenscraft, 1999, "The Performance of Hedge Funds: Risk, Return, and Incentives", Journal of Finance 54, 833-874

Agarwal, V., N. M. Boyson, and N. Y. Naik, 2009, "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds", Journal of Financial and Quantitative Analysis 44, 273-305.

Agarwal, Vikas, Naveen D. Daniel, and Narayan Y. Naik (2009), "Role of Managerial Incentives and Discretion in Hedge Fund Performance", Journal of Finance, 64, 2221-2256.

Agarwal, Vikas, Naveen D. Daniel, and Narayan Y. Naik (2011), "Do Hedge Funds Manage Their Reported Returns?" Review of Financial Studies, 24, 3281-3320.