The Effect of Regulatory Constraints on Fund Performance

No Thumbnail Available
Journal Title
Journal ISSN
Volume Title
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
This publication is imported from Aalto University research portal.
View publication in the Research portal
View/Open full text file from the Research portal
Date
2021-02
Major/Subject
Mcode
Degree programme
Language
en
Pages
Series
Review of Finance
Abstract
This article examines the effect of regulatory constraints on fund performance andrisk by comparing conventional and UCITS hedge funds. Using a matching estima-tor 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 differen-ces are likely to stem from UCITS constraints such as those governing eligibleassets, diversification, and short selling, and cannot be explained by differences inredemption terms or level of leverage. We confirm that our performance results arenot driven by management company characteristics, fund manager characteristics,or unobserved confounder bias.
Description
Keywords
Hedge fund performance, Mutual fund performance, Managerial skill, Regulation, Constraints
Other note
Citation
Joenväärä , J & Kosowski , R 2021 , ' The Effect of Regulatory Constraints on Fund Performance : New Evidence from UCITS Hedge Funds ' , Review of Finance , vol. 25 , no. 1 , pp. 189-233 . https://doi.org/10.1093/rof/rfaa017