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WETA@TES May 2012 - 25 May 2012, Kuan Te Lecture Hall, Bldg. 1, College of Management
【2012 年五月份 WETA 研討會】
日期：2012 年 5 月 25 日 (五) 下午3:00~5:00
地點：臺灣大學管理學院一號館 2F 冠德講堂
講者：Prof. Bing Liang (Dept. of Finance & Operations Management, University of Massachusetts Amherst)
講題：Operational Risk for Hedge Funds.
1. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. We examine the value of disclosure through the controversial SEC requirement, since overturned, which required major hedge funds to register as investment advisors and file Form ADV disclosures. Leverage and ownership structures suggest that lenders and equity investors were already aware of operational risk. However, operational risk does not mediate flow-performance relationships. Investors either lack this information or regard it as immaterial. These findings suggest that regulators should account for the endogenous production of information and the marginal benefit of disclosure to different investment clienteles.
2. Estimating Operational Risk for Hedge Funds: The ω-Score
Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the ω-Score to measure hedge fund operational risk. The ω-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage in the ADV data. With a statistical methodology, we further relate the ω-Score to readily available information such as fund performance, volatility, size, age, and fee structures. Finally, we demonstrate that while operational risk is more significant than financial risk in explaining fund failure, there is a significant and positive interaction between operational risk and financial risk. This is consistent with rogue trading anecdotes that suggest that fund failure associated with excessive risk taking occurs when operational controls and oversight are weak.
3. Trust and Delegation
This paper studies operational risk in the hedge fund industry using a sample of 444 due diligence (DD) reports. Many funds suffer from operational problems, ranging from limited disclosure on past legal or regulatory offenses and the failure to use a major auditing firm to the frequent use of internal pricing. We use direct evidence of inadequate or failed internal processes to derive a simple canonical correlation-based measure for operational risk. This measure is consistent with the Basel definition of operational risk and has relevance beyond hedge fund applications. It controls for selection bias and other conditioning factors using an extension of Heckman’s (1979) procedure. Operational risk does not influence investors’ return-chasing behavior, despite the fact that exposure to operational risk increases the likelihood of subsequent poor performance and fund disappearance. Our study emphasizes the importance of information verification in the context of financial intermediation.
梁教授擔任過許多期刊的編委與副編輯 (例如：European Financial Management、Journal of Alternative Investments、 Journal of Investment Management...等期刊)，梁教授的研究專長為避險基金、共同基金、風險管理及計量經濟學等，詳細期刊論文著作請參閱梁教授網頁 https://udrive.oit.umass.edu/bing/web/index.htm
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