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Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell

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  • Georgi Bontschev

    (European Business School, Center of Entrepreneurial and Small Business Finance (esbf), Schloß Reichartshausen, D-65375 Oestrich-Winkel)

  • Martin Eling

    (Universität Ulm, Institut für Versicherungswissenschaften, D-89069 Ulm)

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    Abstract

    This article analyses the systematic risks of distressed securities hedge funds. Four factors largely explain the systematic risk of this strategy group: These are the returns of two options strategies, i. e. (1) a short-put position on a stock index and (2) a short-straddle position on a bond index. Other factors are (3) a spread reflecting the return difference between a high-yield index and ten-year US Government bonds as well as (4) returns of stocks with low market capitalization. The risk-return-characteristics of distressed securities hedge funds can be represented by a linear combination of these four factors. In terms of its explanatory power, the asset-based style factor model is satisfactory with regard to the strategy return over time and can be used, for instance, to identify a stlye drift, i. e. a deviation from the declared investment style. Our results are relevant not only for investors, but also for supervisory authorities which are currently discussing options for regulation of such funds.

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    Bibliographic Info

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 43 (2010)
    Issue (Month): 3 ()
    Pages: 375–406

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    Handle: RePEc:kuk:journl:v:43:y:2010:i:3:p:375-406

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    Web page: http://www.credit-and-capital-markets.de/

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