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Πλοήγηση Διδακτορικές διατριβές ανά Συγγραφέα "Karagiorgis, Ariston"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Essays on hedge funds
    (05/05/2022) Karagiorgis, Ariston; Καραγιώργης, Αρίστων; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Georgoutsos, Dimitrios; Kavousanos, Emmanuel G.; Spyrou, Spyros; Tsouknidis, Dimitris A.; Sakkas, Athanasios; Drakos, Konstantinos
    This thesis is consisted by four chapters which examine various aspects of hedge funds. In detail, the first chapter studies the architecture of the Skewness-Kurtosis plane for hedge funds across investment strategies, both diagrammatically and within a formal econometric framework. It is found that there is a structural quadratic relationship between the two higher moments with discernible differences across investment strategies, while the results remain unaffected after a thorough sensitivity analysis. The second chapter investigated the mobility properties of the higher moments, both individually and jointly. Using a Markov Chain model, the transition matrices are estimated for the sector and the investment strategies describing the probabilistic structure of Skewness, Kurtosis and Joint transitions. Results indicate that there is near perfect mobility towards non-Normality. Third chapter proposes a methodology for hedge fund Leverage estimation. Initially Principal Component Analysis is performed on a set of 49 risk factors for dimension deduction purposes. After acquiring 10 Principal Components, least absolute shrinkage and selection operator regression (LASSO) is employed per fund by seven three-year monthly non overlapping intervals, to select which Principal Components affect each fund. As a last step an OLS regression is executed in the same manner as previously, with only the non-zero Principal Components. By aggregating the coefficients, a mean sectorial leverage of 3.3 is estimated, comparable to reported numbers from SEC. Fourth chapter, exploits an extensive matched hedge fund-prime broker panel dataset and documents a strong and positive statistically significant relationship between hedge fund leverage and prime broker’s stock price crash risk. The results remain robust after controlling for endogeneity and an extensive sensitivity analysis. It is also documented that investment strategies that tend to be more risk averse, appear to decrease the slope of the risk metrics of prime brokers, and ultimately leading to lower stock price crash risk.