The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorJoenväärä, Juhaen_US
dc.contributor.authorKosowski, Roberten_US
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationCentre for Economic Policy Researchen_US
dc.date.accessioned2021-01-25T10:18:56Z
dc.date.available2021-01-25T10:18:56Z
dc.date.embargoinfo:eu-repo/date/embargoEnd/2022-07-18en_US
dc.date.issued2021-02en_US
dc.description.abstractThis 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.en
dc.description.versionPeer revieweden
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationJoenväärä, 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/rfaa017en
dc.identifier.doi10.1093/rof/rfaa017en_US
dc.identifier.issn1572-3097
dc.identifier.otherPURE UUID: eb502edb-edd9-47e3-be40-d73dd6ccbccaen_US
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/eb502edb-edd9-47e3-be40-d73dd6ccbccaen_US
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/54878836/JK_UCITS_2020_06_02_ALL.pdfen_US
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/102279
dc.identifier.urnURN:NBN:fi:aalto-202101251589
dc.language.isoenen
dc.publisherOxford University Press
dc.relation.ispartofseriesReview of Financeen
dc.rightsopenAccessen
dc.subject.keywordHedge fund performanceen_US
dc.subject.keywordMutual fund performanceen_US
dc.subject.keywordManagerial skillen_US
dc.subject.keywordRegulationen_US
dc.subject.keywordConstraintsen_US
dc.titleThe Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Fundsen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi

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