Opacity in Hedge Funds: Does it Create Value for Investors and Managers?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/626 |
Resumo: | This paper investigates if opacity (as measured by derivatives usage) creates value for investors and the managers of hedge funds that charge performance fees. Since we do not identify a positive relation between opacity and managers’ revenue, it is not possible to state that opacity is a source of manager’s value creation for hedge fund investors and managers. However, considering that opacity is positively associated with risk-taking and negatively related with investors’ adjusted returns, we suggest policies aiming at protecting investors, especially those less qualified. We examine a unique and comprehensive database related to the positions in derivatives taken by managers, which was enabled due to specific disclosure regulatory demands of the Brazilian Securities Exchange Commission, where detailed information on hedge funds’ portfolio allocation should be provided on a monthly basis. |
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BBR. Brazilian Business Review (English edition. Online) |
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Opacity in Hedge Funds: Does it Create Value for Investors and Managers?Opacidade em Hedge Funds: Existe Criação de Valor para o Investidor e para o Gestor?Value CreationOpacityHedge FundsCriação de valorOpacidadeFundos de hedgeThis paper investigates if opacity (as measured by derivatives usage) creates value for investors and the managers of hedge funds that charge performance fees. Since we do not identify a positive relation between opacity and managers’ revenue, it is not possible to state that opacity is a source of manager’s value creation for hedge fund investors and managers. However, considering that opacity is positively associated with risk-taking and negatively related with investors’ adjusted returns, we suggest policies aiming at protecting investors, especially those less qualified. We examine a unique and comprehensive database related to the positions in derivatives taken by managers, which was enabled due to specific disclosure regulatory demands of the Brazilian Securities Exchange Commission, where detailed information on hedge funds’ portfolio allocation should be provided on a monthly basis.Este artigo investiga se a opacidade (mensurada pela utilização de derivativos) cria valor tanto para os investidores quanto para os gestores de fundos de hedge (que cobram taxas de performance). Como não foi verificada uma relação positiva entre opacidade e a receita do gestor, não é possível afirmar que ela crie valor para esses agentes ou mesmo para os investidores. Embora tenha sido constatado que a opacidade esteve positivamente associada à tomada de risco e negativamente relacionada com o retorno ajustado do fundo, foram sugeridas medidas de proteção para os investidores, especialmente os menos qualificados. Foi empregada uma base de dados única e abrangente relacionada a posições em derivativos em fundos. Isso foi possível devido àsnormas de divulgação da Comissão de Valores Mobiliários brasileira, que obrigam os gestores a publicar ao final de cada mês as informações detalhadas da alocação da carteira de cada fundo.FUCAPE Business Shool2020-10-19info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/62610.15728/bbr.2020.17.6.3Brazilian Business Review; Vol. 17 No. 6 (2020): November to December 2020; 640-668Brazilian Business Review; v. 17 n. 6 (2020): Novembro a Dezembro 2020; 640-6681808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/626/943http://www.bbronline.com.br/index.php/bbr/article/view/626/944Copyright (c) 2019 Brazilian Business Reviewhttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessJanuzzi, FláviaBressan, AurelianoMoreira, Fernando2020-11-04T11:33:34Zoai:ojs.pkp.sfu.ca:article/626Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2020-11-04T11:33:34BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? Opacidade em Hedge Funds: Existe Criação de Valor para o Investidor e para o Gestor? |
title |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
spellingShingle |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? Januzzi, Flávia Value Creation Opacity Hedge Funds Criação de valor Opacidade Fundos de hedge |
title_short |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
title_full |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
title_fullStr |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
title_full_unstemmed |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
title_sort |
Opacity in Hedge Funds: Does it Create Value for Investors and Managers? |
author |
Januzzi, Flávia |
author_facet |
Januzzi, Flávia Bressan, Aureliano Moreira, Fernando |
author_role |
author |
author2 |
Bressan, Aureliano Moreira, Fernando |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Januzzi, Flávia Bressan, Aureliano Moreira, Fernando |
dc.subject.por.fl_str_mv |
Value Creation Opacity Hedge Funds Criação de valor Opacidade Fundos de hedge |
topic |
Value Creation Opacity Hedge Funds Criação de valor Opacidade Fundos de hedge |
description |
This paper investigates if opacity (as measured by derivatives usage) creates value for investors and the managers of hedge funds that charge performance fees. Since we do not identify a positive relation between opacity and managers’ revenue, it is not possible to state that opacity is a source of manager’s value creation for hedge fund investors and managers. However, considering that opacity is positively associated with risk-taking and negatively related with investors’ adjusted returns, we suggest policies aiming at protecting investors, especially those less qualified. We examine a unique and comprehensive database related to the positions in derivatives taken by managers, which was enabled due to specific disclosure regulatory demands of the Brazilian Securities Exchange Commission, where detailed information on hedge funds’ portfolio allocation should be provided on a monthly basis. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-10-19 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/626 10.15728/bbr.2020.17.6.3 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/626 |
identifier_str_mv |
10.15728/bbr.2020.17.6.3 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/626/943 http://www.bbronline.com.br/index.php/bbr/article/view/626/944 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 17 No. 6 (2020): November to December 2020; 640-668 Brazilian Business Review; v. 17 n. 6 (2020): Novembro a Dezembro 2020; 640-668 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732239624601600 |